I moved this to WebAdvisor as that is the application that is giving you that warning. If I were you I would do some research into the pros and cons of using Edge vis-a-vis IE11. The information there is correct, Edge, at this time, does not permit extensions so web advisories as regards websites with possibly malicious content wont be forthcoming, from Webadvisor anyway.
Personally I use IE11 in Windows 10 for the time being, you can always switch later on. But there are a number of extensions that I need.
It's your choice really. Edge does have SmartScreen filter so it's not exactly exposed.