@Sergio Londono,Thanks for posting in Q&A.
From your description, I know you are looking for a way to block all websites and only allow few URLs via Intune.
Based on my research, we can create an app configuration policy for Microsoft Edge and define a list of allowed URLs and a list of blocked URLs to achieve this.
Here are some steps you can refer.
1.Click App configuration policies > Click Add and select managed apps > Specify a name, select Microsoft Edge and which platform you want to configure > Click next.
2.In Settings catalog section, select Use configuration designer as Configuration settings format > Click Add settings and search Define a list of allowed URLs and Block access to a list of URLs > Enter the URL you want to allow and block.
3.In Setting page, enter the Name and value.
4.In Assignment page, assign it to user or device group > Click create.
[https://learn.microsoft.com/en-us/mem/intune/apps/app-configuration-policies-managed-app]
(https://learn.microsoft.com/en-us/mem/intune/apps/app-configuration-policies-managed-app)
Note: you can block all URLs via Block access to a list of URLs and configure one specific URL in Define a list of allowed URLs to achieve this, because URL Allowlist works with URL Blocklist, it as exceptions to URL Blocklist, moreover the allowed list takes precedence over the block list.
Here are some links about how to configure URL format you can refer.
https://learn.microsoft.com/en-us/deployedge/microsoft-edge-policies#block-access-to-a-list-of-urls https://learn.microsoft.com/en-us/deployedge/microsoft-edge-policies#define-a-list-of-allowed-urls
Hope above information can help you. If there is any update feel free to contact me.
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