Before you read the result
What Edge Secure Network documents about these signals
Every point below is stated in Microsoft's own support material for the feature rather than inferred from how it behaves.
Three modes, and the default routes very little
Microsoft lists three settings. Optimized, the recommended one, routes only unsecure traffic, such as when you are on public Wi-Fi or visiting a site without a valid certificate, and excludes streaming and video content. Select sites lets you mark individual sites as always using it. All sites routes everything you browse. On Optimized an ordinary secure page is not routed, so a check showing your own address is that mode working.
The address is meant to look like home
Microsoft describes the service as replacing your geolocation with a similar regional address, so that websites and services see a location geographically similar to yours and local results still work. It also states that you cannot select a specific region or location for your traffic. A result that places you near where you actually are is the documented outcome, not a failure to connect.
There is a monthly allowance
Microsoft documents 5 GB of data every month when you are signed in to Edge with a personal Microsoft account, and says the browser tells you how much is left and when the allowance resets. That is a limit a VPN application does not impose, and it matters here: two readings taken days apart can differ for no reason other than the allowance having run out in between.
Cloudflare operates it, and Microsoft says what is kept
Microsoft names Cloudflare as the provider, acting as its data subprocessor, and states that the diagnostic and support data collected is stored briefly in temporary logs and then permanently deleted within 25 hours. It also states that your Microsoft account identity is never shared with the service provider. Those are claims about the operators and their retention, not about what your browser exposed.
It lives inside one browser
The setting sits in Edge's own privacy and security settings, and the traffic it covers is Edge's traffic. Everything else on the machine keeps its ordinary path. A check run in a different browser therefore measures your normal connection and settles nothing at all about this feature, however clean or alarming the result looks.