Hi @moraise, to enable the "Open with Explorer" functionality you need to run the page in IE-Mode. This is because that feature is supported by an Active-X component. You can find out more about how to set up IE-Mode and add it to the site list manager here: https://docs.microsoft.com/en-us/DeployEdge/edge-ie-mode. Thanks - Elliot
You are correct that this function is triggered by an ActiveX. But the ActiveX isn't doing much, imho it doesn't even have to be interpreted/run, it would be good enough if the Edge Browser would recognize the ActiveX and understand what the User of the Sharepoint DocLib would like to do.
In the End, all what has to be done is connecting the Windows Explorer to the WebDav Path of the Document Library.