Office 365 – Can you embed and link files that reside on Sharepoint?

I have a Visio diagram that I want to link to a PowerPoint presentation. Both files are located on the same Sharepoint site. I tried to add the SharePoint document library to my local computer as a mapped drive using the method described in this article. However, an error message appears stating that the folder is invalid. I am not sure if this is due to a security restriction.

In any case, some features are missing in the web application version of PowerPoint (there is no Insert> Object option that I can find). I wanted to link the files so that updating the Visio diagram also updates the associated presentation. Is this possible in Sharepoint / Office 365 or does it only work with local files?