That is because of security reasons. Since a few years ago cookies and passwords file are encrypted and tied to the current user account so you could not back them up and restore if you reinstall Windows, even if you use same username and password for the new Windows installation. What I have found works is to copy the SID of the current Windows installation and change SID to that one after reinstalling Windows. But few months ago I found out that the portable version of Cent Browser is able to save cookies and password unlike other Chromium based browsers. So whenever I reinstall Windows I just run Cent Browser and I am logged in to all sites. So it should work to copy it on a USB stick and run it on any PC without having to login to all sites again. I know it's a security risk because someone could gain access to my system and copy over the Cent folder and could access my accounts but I am willing to take that risk and thankfully the developers of Cent is giving me that choice unlike Google and others. When I used to install Cent instead of running it as portable I noticed that there was a option in settings to disable encryption but it was grayed out.
I use the portable shortcut thing and removing User Data completely doesn't prevent that popup from occurring. I also can't import Bookmarks from Chrome-exported HTML file into this new Edge correctly. It aggregates everything under "Imported" instead of having them separate, like in Chrome.
If you are a fan of Fluent Design, it is available in Build .111, but disabled by Default. To enable type in edge://flags/ Search for Fleunt Controls and Enable. If you don't like the effects at this stage of development, then change back to Default