I'm pretty sure the Edge developers are aware of that and are doing that intentionally for their Internal purposes or some future plans we're not aware of. so that's not really incorrect, just unconventional, and honestly for a software that is in alpha (dev) and pre-alpha (canary) state i think it's normal.
I'm sure they know that better than you and me lol. they probably considered the fact that there will be a time when 4 different channels of the Edge will be out, they can't all go to the same directory.
Google Chrome Canary goes to the Appdata for a reason, Microsoft decided to keep it that way and made their Canary chromium based one to go to that folder as well. i understand it is more sensible to You but to the actual Developers of the Edge/Google chrome/Chromium etc, AppData was more appropriate.