Not to mention that one of the many major UI regressions in Windows is the removal of title bars from application windows, which is fundamental to this "trick." Try opening a PDF in Edge and also in Acrobat. Neither window has a title bar, and they are otherwise almost identical. You have to scrutinize the very few controls around the window to determine which app you're looking at.
Microsoft and its software are trash now.
The import is entirely local, the "sent to Microsoft" bit is if you have Edge sync enabled. This is identical to Chrome importing your Firefox data and then syncing it back to Google. Except the Edge import was, by reports at the time, accidentally auto-enabled. But you'd still have to sign into Edge and enable sync.