There's no policy to control this "Use the format selected above when copying links within web pages" option. I suggest that you can provide feedback to Edge team by pressing Alt+Shift+I in Edge.
Besides, there's a policy can control the above two "Link" and "Plain text" options. You can enable this policy ConfigureFriendlyURLFormat and choose to use link format or plain text format. You can check if this policy can meet your requirement.
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Regards,
Yu Zhou