Same issue, found a fix from a reddit forum -
https://www.reddit.com/r/MicrosoftEdge/comments/n2vbiu/request_visio_viewer_in_microsoft_edge/Create a new registry file with the below settings and do a regular open rather than open with
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Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Classes\VisioViewer.Viewer\shell\open\command]
@="\"C:\\Program Files (x86)\\Microsoft\\Edge\\Application\\msedge.exe\" -ie-mode-file-url -- \"%1\""
[HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Edge]
"InternetExplorerIntegrationLevel"=dword:00000001
"InternetExplorerIntegrationLocalFileAllowed"=dword:00000001
[HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Edge\InternetExplorerIntegrationLocalFileExtensionAllowList]
"1"=".vdw"
"2"=".vdx"
"3"=".vss"
"4"=".vssx"
"5"=".vsd"
"6"=".vsdm"
"7"=".vsdx"
"8"=".vst"
"9"=".vstm"
"10"=".vstx"
"11"=".vsx"
"12"=".vtx"