I think Edge has avoided power-user oriented features, and I think part of that reason is Microsoft's departure from the insane amount of settings harbored by IE. They want to make edge as user friendly a.k.a dumbed down browser. They have started from the basic now and I think given a year or two, edge might become a serious rival in the Browser community, which I think will come from user feedback as the browser matures.
For those who want to change the default download location in MS Edge here's how to do it:
1. Open the registry editor. You can open it by hitting Windows + R, typing “regedit” into the run menu and hitting Enter.
2. Find this entry HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders. You can get there by opening the folders in the left pane.
3. Once there open the registry key with a Data setting of %USERPROFILE%\Downloads. It will probably be named {374DE290-123F-4565-9164-39C4925E467B} and will appear on the right-hand side panel.
4. Set the Value data to the new file path where you want EDGE to download files too (ex: C\downloads). E.g If you want downloads to save to the desktop set it to %USERNAME%\Desktop. Obviously replace the variable "USERNAME" with your windows 10 username.