A Microsoft file hosting and synchronization service.
I have three children sharing my 365 Family subscription. One never experienced this shared links problem. The other two didn't initially, but then suddenly did back in December. One by one, their accounts resolved in January, and now all three are working correctly (i.e. opening in File Explorer not Edge). I don't know if any of the actions I took affected this, but one of them resolved shortly after I removed the account from my 365 Family subscription for 2-3 days, before then reinstating it. That might be worth trying.