Edge Chromium doesn't have security zone settings, so it is reasonable the steps in the article doesn't work for Edge.
If you want to configure Edge settings indeed you need to configure it through GPO. Please check this policy: DownloadRestrictions. It configures the type of downloads that Microsoft Edge completely blocks, without letting users override the security decision.
I ask you to use F12 because I want to know what error it shows when it doesn't work in Edge. Edge doesn't support msSaveBlob
method so if the download page uses this method to download blob file, it will never work in Edge and Chrome.
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Regards,
Yu Zhou