I think it is a great feature of MS Edge, not it has some issue which limits its usefulness.
1. Bing ignores your location and language preferences making the search less usable. It's Bing's problem in general, no matter how many times I tell Bing to ignore my current IP and location, set post code and country/region to US, bing still switches me to Germany and serves results in German, which I do not want. I've solverd this for regular search engine, by adding cc and mrk params to query string, but sidebar search does not take it into account. Would be great if sidebar search would rely on your Default Search engine setting. Meaning that more appropriate name for the feature would be "Search in sidebar".
2. Clicking in any of the links in the sidebar should not lead to new full screen tab. I've chose to start the search in the sidebar for a reason.
Completely agree with all 3, I posted about the same things too, every single one of them is important to be implemented. probably the most annoying thing is number 2. if you haven't already, please also send them using the feedback button on Edge (shortcuts alt + shift + i)