Microsoft created a protocol that masks the URLs so that they can be opened in Microsoft Edge in Windows 10. So instead of https://www.policypak.com, Windows 10 would prepend microsoft-edge: to the URL i.e. microsoft-edge:https://www.policypak.com.
So no browser but Microsoft Edge supports this protocol, and these URLs are opened in Edge automatically and not the default system browser you set through PolicyPak software.
How to solve it?
You will need to install EdgeDeflector before you can send search queries from Cortana to the default browser, set through PolicyPak software. More info: What it means to set Default Browser in PolicyPak Browser Router.
Then set the Policy for PPFAM as shown in the following screenshot:
Note the path for EdgeDeflector. That has to be same on client computers.
Apply the policy on the client computers and reboot.