The "Pin to taskbar" feature in Edge should duplicate the Chrome "Create shortcut... Open as window" feature. Pin to taskbar will put the link on the taskbar but will open the link in the current Edge window. Chrome's "Open as window" option is nice in that your site will open as an entirely new window. This is great for sites like Outlook Web.
you can do exactly the same by installing a site as app
you will be able to create a shortcut of that site on desktop, pin it to taskbar, pin it to start menu, open it on its own separate window with its own Icon and it won't be closed if the main Edge insider window closes.