boopig

It's Microsoft Defender SmartScreen in Edge.

You can also use the Windows Diagnostic Viewer to check the telemetry data being shipped to Microsoft. I'd be willing to bet that you could use Edge (with defaults) and see the URLs being sent to Microsoft but nothing would come from Brave, Firefox, Chrome etc.

It was Microsoft Defender SmartScreen in Edge I believe. The visited domain is submitted to Microsoft to check it against known malware and phishing sites. And, as we're learning here, it is associated with the GDID (and Microsoft Account) which can be accessed via law enforcement requests.