If you natively install Mozilla Thunderbird (for example) and click on a mailto:\\blahblah link you are prompted for what app to open it with. Windows 10, of course, has the inbox mail program, but then Thunderbird shows up in the other options list.
If you package Thunderbird into MSIX and deploy, the mail is just sent by the inbox mail client and support for the protocol handler appears to be missing.
In App-V we referred to this as two things:
A URL Protocol handler that knows about "mailto:"
And an Application Capabilities Registration that added it to the open with list.