A new security option in Microsoft Edge.You’ll find it in Settings | Privacy, search and services as shown above. Three levels are available once you enable it (it is disabled by default).
What is does according to the documentation is:
and more information is found here:
Enhance your security on the web with Microsoft Edge
There is also the option to white list certain URLs if required.
So, if you want a bit more security when using Edge, turn it on! I have.