MS Edge 86.0.622.43 - How to remember this site is trying to open word

Would someone know how to get around the issue where each time you open a document from on-prem (or online) SharePoint you get the following message

This site is trying to open Word

https://www.xxxxxx.com/ wants to open this application.

I have added the following regkey but this has not had any affect

Value Name: ExternalProtocolDialogShowAlwaysOpenCheckbox 

Value Data: 1

I have not got any option to remember and therefore each time I open a document it opens with this warning. 

Is there a a way to add internal URLs to bypass this message or even External links. 

I have checked the the ADMX template but cannot find anything suitable. 

Any help on this would be appreciated.

Also on a side not would anyone also know when the option  to  open, save or to save as the download before downloading the file?  This would be very helpful also?