To open multiple links from the Favorites menu, users may middle/wheel click the links one by one on the Favorites menu in Edge 18. In the current Edge insider preview, doing so will result in the menu being closed after the first click. The behavior in Edge 18 is preferred.
@v-gapart I want to second this as forcefully as I can. Firefox keeps the favorites menus open after a middle-click, Current Edge (44) does this too. Internet Explorer did this (at least the last time I used it). I will not even consider using Google Chrome as my browser simply because it does not keep the Favorites menus open after a middle-click. Chrome Edge needs to keep those favorites menus open after a middle click if I am even going to consider using it as my day-to-day browser.