OK. I read on the MS It forums, that the ineternt options, in the settings, are universal, although they indicate that they are for IE. So, try this:
Settings - Network and Internet - Internet Options.
Under the "General" Tab, make sure you have the "delete browsing history on exit", UNticked.
Doesnt seem to me that it should apply to Edge, but in Windows 10/MS, you can never be sure!!!