@instinct46:Thanks for helping us trouble shoot this.
I am not able to repro what you are seeing, so having you help is really the only way to fix this.
Using the same version of Edge that you have and clicking on the direct link
is working fine for me.
I am wondering you are having troubles accessing the file.
Could you open the developer tools by pressing F12, open the the network tab and then click on the direct link to the video and let me know what you get?
here is what I am seeing