Hi @Rach
Thank you for posting your question in the Microsoft Q&A forum.
The "File > Options > Advanced settings" is for Classic Outlook for Windows.
I just tested on my side, and it works fine, the link opens in the default browser I have set.
Can you please double check your settings?
You can try close New Outlook for Mac and reopen it.
Restart your Mac so the changes will be applied.
Please try and let me know if it works for you, if not, we can try another approach for this issue.
Warm thanks.