@Dean Egan, Thanks for posting in Q&A.
From your description, I know you want to block the ability to change default download location in Edge.
Based on my research, we can create a policy with the setting "Set Download Directory" mentioned by @Guido, with this setting, we can Configures the directory to use when downloading files and Microsoft Edge uses the provided directory regardless of whether the user has specified one or chosen to be prompted for download location every time.
Please follow the link below to set the correct download directory.
https://learn.microsoft.com/en-us/DeployEdge/edge-learnmore-create-user-directory-vars
Also, we can find the setting under Settings Catalogs.
Hope it will help, if there is any update, feel free to contact us.
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