Haven't read the whole thread, but it looks like that the new Messenger is basically just an edge app. If I kill edge, Messenger dies. Basically Facebook aren't bothering to make a real app, so it will always open links in Edge, because it's already IN Edge.
You might want to read a little more of the thread. Only recently did the app become connected with Edge, so you can use an older version (up to v. 2150.23.211.0) without that issue - up through that version it was an independent app developed by Meta that did not run on any browser, so it will send links to whatever browser you have set as your default. Uninstall your existing app and then install this: https://messenger.en.uptodown.com/windows/download/1026550438