There is no option to export favorites directly through Edge's interface.
...Really? Strike one.
So I tried a workaround and tried to import it to Chrome first then exporting it with Chrome to an .htm file, only problem is that it doesn't let me do that either. It will say import complete or whatever with Chrome then nothing shows in the favorites.
...Rly? Strike two.
Tried google'ing for solutions, and only found mostly older posts from a time when there was an "export" button on Edge, or some guy who made an .exe file for that purpose, which is also from posts a year or older ago.
What the %#!* ?