Please check the following settings to troubleshoot your problem:
1.Perhaps you have tried New Office Option for Link Handling (Open file links directly in Office desktop apps) or File Open Preferences (Open file links directly in Office desktop apps), but you can't see these feature.
These features are for M365 only, Office LTSC 2021 does not support this feature.
So, if you want these features to work, you can use M365.
If you are not comfortable changing the version of Office you are using, then we can constrain the SharePoint file link to open in the local application by trying to set the way SharePoint opens the file.
2.Please contact the administrator of the site where your SharePoint file is stored. Navigate to Site Settings > Site collection features >Active "Open Documents in Client Applications by Default".
3.If your SharePoint files are saved in a document library, then you can contact your site administrator to navigate to the document library where the files are saved >Library Settings > Advanced Settings> select "Open in the client application".
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