Can you confirm you're using Chromium Edge (not legacy Edge) and have the latest ADMX templates?
The policy for Chromium Edge should be this one:
Computer Config > Admin Templates > Microsoft Edge > Hide the First-run experience and splash screen (Enabled)
To confirm, key that gets set from this policy should be HKLM > Software > Policies > Microsoft > Edge > HideFirstRunExperience (REG_DWORD) = 1