W11, FF set as defailt browser, installed from Mozilla sites (.exe)

Any links from Whatsapp or Messenger app (and some others, but it is very likely the same issue) open in MS Edge. I found some WI to change the "microsoft-egde URL" default app, but I do not have that option. Only Edge is offered or I have to go to store and Install FF from there. Is there a way around it? My main concern is I am biuit scared to install it from MS Store as there are for sure some limitations and I might loose my opened windows and tabs...