Hi @Patrick Ldierts,
Thank you for your reply.
First of all, since SharePoint Online is primarily a browser-side oriented application, it opens files in the browser by default. So yes, you need to configure the sites where all the files you need to access are located as I mentioned above.
Secondly, this setting will change the way the entire site opens files by default. it will change the way files are opened for all users who access the site. There is no way to change the way one person opens a file.
But here I found an article about setting office file links to open only in apps, you can see if this can be of some help to you: Open file links directly in Office desktop apps.
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