I ended up just downloading the Edge Beta form the link that they posted shown below:
https://www.microsoft.com/en-us/edge/download/insider?form=MA13FJ
Please not that this will allow you to install the Beta Version of Edge and it will come with default settings, but hopefully it will copy over your profile settings to it.
But for all the people like myself now after playing about with stuff within Edge who cannot even view the Edge Settings now, you can do the fix via the Registry Editor
The following that Microsoft posted shown below does work:
Solution: 3
If the user is completely unable to turn on EDGE
Organizes the registry for the enhanced features of EDGE.
Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Edge]
"EnhanceSecurityMode"=dword:00000000
00=Always turn off Enhanced Security Mode for all users in Microsoft Edge
01=Always turn on Balanced Enhanced Security Mode for all users in Microsoft Edge
02=Always enable Strict Enhanced Security Mode in Microsoft Edge for all users
Sadly this registry key and DWORD in my case did not already exist in the System Registry so like me you will have to add that in yourself.
I have created a reg file with the following contents so you can do the same, create a file on your desktop called "Edge-Fix.reg" (without the quotes) and then put in the following contents:
Windows Registry Editor Version 5.00
[HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Edge]
"EnhanceSecurityMode"=dword:00000000
You just need to double click on your new created file and go through the prompts that pop up.
What this does is create a policy that overrides the Enhance your security on the web setting so you will not be able to change this in Edge until you remove it from the Registry.
Please note you use this at your own risk and make sure what you type in is correct.
Or you could add this all by hand within the Registry Editor:

This worked for me.
--- update ---
Or if you don't want to mess about with the System Registry, you can just download and install the Edge Beta (link above), this is to let you to go into the Edge Settings (within the Edge Beta) and turn off Enhance your security on the web due to this setting is shared across all Edge versions.
Going by this route will not setup a group policy to override this setting, so although its not ideal, its better than messing about with the System Registry and group policies.
Once you have disabled that setting in the Edge Beta you can then exit it and go back to the old version of Edge, please note you might see the same message popup at first, but just click on the refresh button on the page and all stuff should now work as it did before.