OneDrive syncs only MS foders (Roll, Saved, ScreenShot) not 3rd party folders.
You can
1) When watching pics in Whatsapp, tap on them -> Save. They'll store in Saved then in OneDrive
2) When browsing pics thumbnails, select all photos you want then Share -> OneDrive
You don't have the select all function on wp10. I have to do them one by one so annoying. I have sent feedback to OneDrive and they are adding it to the list of improvements so fingers crossed.