Thanks for the response, Oliver. That is interesting. Our particular files are on SharePoint. I'm using the same conditional access, the same MAM policies and tapping on a PDF in the Managed Browser appears to download the file in the browser and then gives me a few Intune managed apps to open it in. A word file just opens it right in Word.
In Edge mobile, in Android, it acts like it's opening a new window and I get the blocked message, while in iOS it does nothing.
If I remove my MAM policies, a word document will download then ask if I want to open it in Word or the built in Samsung document reader. At no point will any document render in Edge. It will always want to download to the device.
UPDATE: iOS documents seem to render in Edge, on Android they always download and ask what viewer they want to open in.