This is how it works for me in ON2010, which is where I first saw this problem. ON2007 didn't do this as I recall, and I don't have ON2013 handy to test.
Simple answer, although not so convenient:
- In OneNote, right-click on a page tab in a SkyDrive notebook and choose "Copy Link to Page".
- Open Notepad, and choose Edit -> Paste. You should see two lines of text. (It may look like more than two lines if you have Word Wrap turned on, so maybe turn that off from Notepad's Format menu.) The first line starts with "https://" and is a link to the notebook on SkyDrive. The second line starts with "onenote:" and is a link to the page on your local machine.
- Highlight the second line of text that starts with "onenote:" in its entirety.
- Copy to the clipboard
- Switch back to ON and highlight the text you want to use as the link.
- Press Ctrl-K or choose Insert -> Link from the ribbon.
- Paste the link into the Address field in the Link dialog, then press OK.