Here's the solution that I have found. It still does not give you the option to set Default in the app, but when you click on a file it automatically opens in the app.
Close Teams, making sure it is not running in the background.
Locate the file "app_settings.json" most likely under the users folder followed by AppData\Local\Packages\MSTeams_8wekyb3d8bbwe\LocalCache\Microsoft\MSTeams
Open it with your preferred package - Notepad will do.
Find the "open_file_in_desktop_app":false and change it to read "open_file_in_desktop_app":true save the file and close it, relaunch Teams
It will now open files directly in the desktop app
Below is the data that is in the file "app.settings.json"
{"install_source":0,"theme":3,"zoom_factor":1.0,"language":"en-GB","app_launch_count":0,"first_app_launch_time":0,"core_launch_count":0,"first_core_launch_time":0,"last_ddv_start_time":0,"ddv_enabled":false,"ddv_connection_string":"","default_local_recording_location":"","default_download_location":"","prompt_download_location":false,"user_modified_auto_start":true,"open_app_in_background":false,"open_file_in_desktop_app":false,"keep_app_running_on_close":true,"main_window_bounds":{"size":{"width":1466,"height":825},"pos":{"x":227,"y":103}},"main_window_state":0,"main_window_state_before_restart":256,"main_window_maximized":false,"most_recent_cloud":"prod","active_users":[{"id":"2ae40377-d27f-482f-afb7-14fc360a2563","state":5,"cloudType":1},{"id":"1af82f3f-da4e-4cd5-acab-1d345a23c9ef","state":5,"cloudType":1}],"active_clouds":[{"teamsCloudType":1}],"public_preview":false,"public_preview_previously_set":false,"web_client_version_used":"24020205514","enable_third_party_devices_service":false,"third_party_devices_list":[],"storage_partition_enabled":true,"is_t22_enabled":false}