Hi,
Which version of Microsoft Edge (Chromium) are you using? The Group Policy for hiding the first run requires version 80 or above or it won't work.
https://learn.microsoft.com/en-us/deployedge/microsoft-edge-policies#hidefirstrunexperience
If it still doesn't work, you can start by verifying that the GPO has been applied successfully, if it has been applied successfully you can verify if the registry entries have been changed and have the same values as mentioned in the Microsoft documentation:
https://learn.microsoft.com/en-us/deployedge/microsoft-edge-policies#windows-registry-settings-174
This has also been discussed in many threads, for example this one:
https://techcommunity.microsoft.com/t5/enterprise/group-policy-to-disable-the-quot-welcome-to-the-new-microsoft/m-p/1067325
Someone in the community created a script for disabling this over here:
https://github.com/gunnarhaslinger/Microsoft-Edge-based-on-Chromium-Scripts
Best regards,
Leon