Hi, this is the problem (or lack of feature) of that website. I just tried it, created a test workout program and in the end it hands over a link to me to send it to my phone.
You can right-click on each entry and add them to your Edge Collections but the sync between PC and phone version of Edge isn't implemented yet.
I think you need to find a better app/web app that has the features you want. of course they are thousands of ways to do this, like by writing them in a Word document to be able to edit them on any platform any time for free.