Yes, because that site is opening in http, not https and Edge by default, and many other browsers, do that so you know you are connecting to a secure site.
I have it happening with one ERP app we have inside and I have crafted a shortcut that directly launches the file. You just need to figure it out for yours.
My shortcut is like this:
C:\Program Files\Internet Explorer\iexplore.exe" http://server/subfolder/DeltekVision.application
and use it in the "Target:" location of the shortcut properties