I've just tried googling this line:
"edge" "favorites" 'alphabetical"
Regrettably, every thread it brings up (including some recent ones with direct input from Microsoft staff on their own forums) suggest that the feature you want is still "in development". (Given that Microsoft never wait until a product is actually fully working before pushing it out to the public, that certainly doesn't surprise me!).
Time to switch to a decent browser (such as Firefox), perhaps?