I'm fairly certain that FTP is totally irrelevant for this particular example. You can see from the address bar in the original query's screenshot that it's an HTTPS page that's opening in Edge.
The HTTP and HTTPS default app was already set to non-Edge, asyou can see in green below, which is what I'd hope and expect since I'd set my default browser to non-Edge.
So Windows appears to be totally ignoring my selection for default HTTPS app when it opens that https://support.microsoft.com URL from Settings > Personalization > Taskbar
However, as you can see in red above, I did notice that there's also a specific MICROSOFT-EDGE protocol apparently reserved exclusively for Edge (none of the four non-Edge browsers I have installed appear as options for it, only Edge).
While investigating this protocol I found a January 2020 How to open url:microsoft-edge with for example Firefox? topic on the Microsoft community forums, asking a similar question to mine - why do Cortana/Windows search results always open in Edge regardless of default browser selection.
In simple terms it appears that simply adding a 'microsoft-edge:' prefix to any http or https URL will cause Windows to totally ignore the user's default browser selection and open it in Edge. And several things within Windows seem to do this - Cortana, the taskbar search, my 'How do I customize the taskbar?' link, etc.
So it's 100% a deliberate design decision.