The OD Cost Matrix solver only returns the network shortest path distance. it does not compute the distance from the unsnapped location of the input point to the snapped location on the network.
You can compute that distance by using the GP tool Calculate Locations. This will add the network location fields on to your input origin locations and one of these fields is "distance" and that will be the euclidean distance from the origin to the snapped location on the network.
You can then use these location fields to load locations into your origin and destinations. But before you do that, you can create the OD Cost Matrix Layer, bring up the attributes of the origins and add a field called EucDistance. And then load locations and on that dialog, in the field mappning of properties, map the EucDistance to distance field. Now when you load, the euclidean distance will be on the origin attributes. Later after you solve, you can "add" these values to the paths. OR, you can use the Closest Facility Solver and map your origins as Incidents and destinations as Facilities AND map the "distance" to the appropriate attr_<length> field in load locations. This will add the value of the "distance" of the input locations to the overall path computed.
Regards,
Jay Sandhu