Prevent Edge from this local DNS resolution if the request is supposed to go to proxy server

Edge should not be performing a DNS resolution in a scenario where the browser is configured to use a proxy server for the target site. The one exception is if the target site presents a WWW-Authenticate: Negotiate auth challenge, in which case the client may perform a DNS lookup on the target, seeking the CNAME to generate the Kerberos SPN. That CNAME lookup can be disabled using the policy disableauthnegotiatecnamelookup.

If that doesn't explain your symptoms, please follow these instructions to get a network capture: https://textslashplain.com/2020/01/17/capture-network-logs-from-edge-and-chrome/#:~:text=Appendix%20A%3A%20Capture%20on%20Startup and then send it to me (ericlaw@microsoft)