That's not how desktop shortcuts, except those to files, have ever worked.
You can't right click on the shortcut to a program and say, "Open with," something else.
I have never heard of anyone, prior to now, wanting web URLs to open with anything other than the web browser of their choosing. If they want to use another one then they can open the shortcut itself, copy the URL, open the other web browser wanted at the moment, and paste it in.
Web desktop shortcuts have always opened with the default web browser from day one.
Brian - Windows 10 Home, 64-Bit, Version 1803, Build 17134
The real art of conversation is not only to say the right thing in the right place but to leave unsaid the wrong thing at the tempting moment.
~ Dorothy Nevill