Here's what I have done so far and it seems to work. I'd rather be able to just drag a favicon but...
1. Collect by <Copy> while in Edge (or any other browser?) the URL to a site I want embed in the [Links]taskbar
2. Right-click in the Links taskbar, choose "Open Folder".
3. A Windows Explorer navigation window opens which is (User)->Favorites->Favorites Bar. Position cursor in the open pane below other links.
4. Right click in this pane and choose "New..."->"Shortcut"
5. Follow the dialog prompts: first <Paste> the above-collected URL into the Link Location box, second, pick a *short" name for the link because you will NOT have a favicon to guide your choice and may want the text on the Link taskbar. If you need to have a label, taskbar real estate will get too small very quickly. Press/click Enter.
6. In my Win10, the link is now a blue sphere icon which looks like a IE link BUT, thankfully, Edge is the browser invoked. And although navigating with the earlier attempted link icons brought up a warning about dangerous actions at the link - requiring a couple of clicks to bypass and start working - this version did not follow that protocol.