We encountered the same issue and have found a fix. Long story short, use the Edge download settings to change the download location to a mapped network drive. We use server network drives mapped to P: for each user. There are errors in API pathing when using server name addressing, but mapping it using the P: drive addressing worked perfectly for us!
The following is a breakdown from MS Copilot:
The \\?\ prefix is a Windows internal path format
Edge recently started injecting it incorrectly for downloaded files on network paths
Windows fails to open those paths when invoked this way
Files themselves are fine and accessible
Original (problematic for Edge right now):
\\server\share\user\Downloads
→ Edge converts this to something like:
\\?\UNC\server\share\...
→ “Open file” call fails
Your fix:
Z:\Downloads
→ No UNC → no \\?\UNC conversion → Windows opens it normally