I am going to assume that you do want to protect Edge using the Identity Shield and provide the guidance as follows:
Click on the gear/cog symbol to the right of the Identity Protection tab in the main app panel.
From the panel displayed select the Application Protection tab.
On the next panel click on the 'Add application' button
Navigate to the following path: C:WindowsSystemAppsMicrosoft.MicrosoftEdge_8wekyb3d8bbwe
Select (in turn the following .exes; MicrosoftEdge & MicrosoftCPEdge, click 'Open' after each selection to get them registered in the Application Protection window.
Make sure that the entry for each of the aforementioned .exes is 'Protect',
and thereafter WSA will protect your browsing with Edge as it does but default for Chrome, IE, Firefox, etc., i.e., you should see the 'Golden Padlock' display in the WSA notification tray icon.
Thanks for the info, however I followed the steps you provided and it kept saying no such path. Tried it numerous time with same results. Do you suggest I put a ticket in? Have a happy holiday, and as always thanks for the help, God do I need it.
I suspect that you file name is different to the one on my system so in that case I would just (i) navigate to C:WindowsSystemApps, (ii) search for the file that has this prefix 'Microsoft.MicrosoftEdge_' irrespective of what characters are found after the '_' and look to register that one under Identity protection.
If that does not work the I would certainly submit a support ticket so that the Support Team can take a look for you.