I struggled with this early on as well. I have found that there is about a 1-minute delay between when the browser launches and when IE mode becomes active. During this time, it appears that the browser is importing your site list XML, and generating a file called EmieSiteList.xml in %localappdata%\Microsoft\Edge\User Data. Once that file gets created, IE mode should start triggering.
I've experimented with prepopulating the EmieSiteList.xml file in this directory, but the delay still occurs.
I don't have a solution, but this might help shed light on what is going on.