Just as additional information for organisations: Edge for Windows has an feature that allows file links, as long as the Website that has the links is defined as a secure internal one (in the “intranet Zone”). That group policy is called IntranetFileLinksEnabled.
We use it in our organisation and it is nice and still quite secure. It won’t open ANY file. It will simply open the Windows File Explorer and the file is selected.
An good compromise between security and user friendliness in my opinion!
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