What you see in screenshot #3 is the result of that app (Microsoft Edge) not being installed. If you are a Safe Basic, Plus or Prime user and you are running Microsoft Edge Version 44 or older, you will be unable to select this location for backup. Internet Explorer recognizes this protocol as belonging to a UWP and tries to invoke that app, but only after asking you. The "Try Now" link on the web page you've found simply tries to invoke a hyperlink whose protocol is microsoft-edge. Microsoft Corporation (27 July 2017) via Microsoft Docs.
Microsoft Edge - Deployment Guide for IT Pros. Find the Use location feature at the top and toggle it off. "Microsoft Edge requirements and language support". Swipe down from the top of the screen so that you see your Quick Settings menu, and long-press on the Location icon, or swipe down, tap the Settings icon, and choose Location. For customers who require the LTSB for specialized devices, we recommend using Internet Explorer 11. These apps and their services are frequently updated with new functionality, and can't be supported on systems running the LTSB operating systems. Microsoft Edge has an easy way of setting the download location. Just double-click on the downloaded file to. The Long-Term Servicing Branch (LTSB) versions of Windows, including Windows Server 2016, don't include Microsoft Edge or many other Universal Windows Platform (UWP) apps. Once the download finishes, you should see the file in your Downloads folder. Microsoft Chairman and CEO Satya Nadella speaks to attendees virtually at Microsoft Ignite 2022. Microsoft Edge was removed from Windows Server 2016 during the release candidate stage.