Hi @Deleted - I am not able to repro 77.0.211.2 (Dev) an do not get this message. I was not able to locate a specific setting in Microsoft Edge about PDF Reader settings.
With that, lets take a look at Windows settings (I am going to assume Windows 10 in your scenario). By default, Windows 10 opens PDF files in Microsoft Edge. Can you verify PDF file association in Settings per below? Note steps might vary slightly depending upon which version of Windows 10 you have installed.
From Windows 10, open Settings, go to Apps, then Default apps. Scroll down to the link Choose default apps by file type and click it. Find the .pdf file extension on the left side. On the right side, select a application to open PDF files with (Microsoft Edge Dev in this example is what I am set at).
Let me know if this resolves.