I am running Microsoft Edge Dev V92.0.873.1; I open a New InPrivate Window.
Under Extensions, I choose to install IDM Integration Module.
When I select a video to download, the program this extension reference is NOT used; instead the file is downloaded directly from Edge.
I tried rebooting my laptop after setting the extension and before downloading the file; the extension is present after the reboot.
FYI I prefer to use the IDM program since it offers finer control over downloads.
Also, I have the same setup on Microsoft Edge V90.0.818.51 and it works as expected.