When clicking copy link button, you will get a link which is a sharing link of document. This link contains sharing permission, so it will become invalid after a while.
Per my test, I create an embedded link by using file path in the excel, when I click the embedded link, it opens the link in the browser.
Whether files are stored in the SharePoint server or SharePoint online? Which browser are you using?
Try to add "?web=1" at the end of file path, then click the embedded link in the excel. URL looks like https://tenant.sharepoint.com/sites/emilytestnew/Shared%20Documents/1.docx?web=1
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