This option is helpful if there's a site that users don't want to be signed out of, but still want to have all the other cookies cleared when the browser closes.
In response to user feedback, users can now exempt certain cookies from automatically clearing when the browser closes. The top-level frame blocking prevents audio and other media from the malicious site from playing which gives an easier and less confusing experience. Microsoft Defender SmartScreen improvements: Made several improvements to the Microsoft Defender SmartScreen service, such as improved protection from malicious sites that redirect when loading, and top-level frame blocking, which completely replaces malicious sites with the Microsoft Defender SmartScreen safety page. To learn more, see the progressive rollouts article. If your organization isn't enrolled for auto-updates you won't be affected by this change. As a user you will continue to get seamless auto-updates. This enables us to protect more of you from accidental buggy updates, which improves your update experience.
Going forward, updates for Microsoft Edge will be rolled out to our users over a period of a few days. Microsoft Edge updates will now roll out gradually.