No, microsoft-edge links are used through Windows itself when it wants to show a webpage, e.g. from Cortana or a desktop widget. They open in Edge even if you've told Windows you want a different default browser
I've given up using Windows at home, I don't get time lately to play games so I don't miss it. But I'm stuck using it at work and I catch myself wasting time getting upset about Microsoft's behavior with regards to this and have to just remind myself not to worry about it, close the window and move on... I'm there and getting paid to work, not to mess around with stupid crap like this, despite how much it irritates me.