After an insane amount of trial and error, I was able to get it to work. Here is what I have done. I hope it saves someone some time.
My sitelist.xml
<site-list version="4">
<created-by>
<tool>EMIESiteListManager</tool>
<version>12.0.0.0</version>
<date-created>03/03/2021 17:03:56</date-created>
</created-by>
<site url="XXXX.XXXX.com">
<compat-mode>IE8Enterprise</compat-mode>
<open-in>MSEdge</open-in>
</site>
</site-list>
My GPO Settings.
Computer Config\Policies\Admin Templates\Microsoft Edge
Configure Internet Explorer integration - Enabled
Configure Internet Explorer integration - Internet Explorer mode
Configure the Enterprise Mode Site List - Enabled
Configure the Enterprise Mode Site List \XXXXX\SYSVOL\XXX.XXX\scripts\sitelist.xml
Open local files in Internet Explorer mode file extension allow list - Enabled
Open local files in Internet Explorer mode file extension allow list - *
Computer Config\Policies\Admin Templates\Windows Components \ Internet Explorer
Send all sites not included in the Enterprise Mode Site List to Microsoft Edge - Enabled