As a general note, setting anything as default under Windows 10 must be done in Windows 10 Settings, Apps, Default apps.
The "in program" dialogs are an anachronism that "don't stick" under Windows 10. Those programmers who wanted to make their "in program" dialogs Windows Version agnostic query whether they're running under Windows 10 or not, then if they are actually trigger that Windows 10 Settings dialog to open to the correct pane and item to allow you to switch it.
I don't even bother "in program" anymore but just go to the Apps, Default Apps and handle it there.
Brian - Windows 10 Pro, 64-Bit, Version 1903, Build 18362
The color of truth is grey.
~ André Gide