Hi Sanna K,
As I understand it, when you try to open pdf file directly from the team site, it appears an error—“The filename, directory name, or volume label syntax is incorrect”.
I did tests with my Office 365 small businesses and enterprises account, it works well.
I suggest you install the latest version of Adobe Reader from the official site and then run desktop setup from the portal site (portal.microsoftonline.com/.../default.aspx) to see if it works.
Thanks,
Allen Sun