That sounds like the free version of OneNote that comes with Windows 10. The "full-fat" desktop version that comes with Office ("OneNote 2016") is much more flexible in this regard, and has a more powerful interface.

https://support.office.com/en-us/article/What-s-the-differen...

That said, the OneDrive integration is something I like about it; my notes aren't very useful to me unless they're cloud-synced.