If Outlook is not honoring your Options choice:

If you are in a IT Managed Environment, there may be a Group Policy over-ridding your Options setting.

Web links from Outlook and Teams open in Microsoft Edge in side-by-side view | Microsoft Learn

You can also try changing your Windows Default Browser:

How to set Chrome as default browser for Outlook links

And turn off the Outlook Sidebar (if applicable):

How do I make outlook RESPECT DEFAULT BROWSER - Microsoft Q&A

Some links can be "hard coded" to open in Edge:

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