If you installed the new Microsoft Edge manually from the download site, then you can force a re-import of all the browser data from Microsoft Edge Legacy by deleting your User Data folder.
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Close all instances of Microsoft Edge.
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In File Explorer, navigate to C:\ > Users > [username] > AppData > Local > Microsoft > Edge.
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Delete the User Data folder.
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Open Microsoft Edge.
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Proceed through the onboarding experience.
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Check your favorites by selecting Settings and More (...) > Favorites > Manage favorites > Other favorites.