YOU WIN !! This is WAAAAAAY EASIER !!!

Detailed Instructions:
1.) Click on the “Restore Down” icon in the very upper right corner of the browser (the overlapping square icon to the very left of the red x “Close” icon). The browser window should now be small enough so that the desktop is also visible behind it. (If the browser window is still too large and the desktop is still not visible, resize the browser window by dragging the edge/corner.)
2.) In the left corner of the address bar (to the left of the URL; to the right of the “Home” icon) there is a Padlock icon (or in some cases, a warning triangle and the text “Not secure”). (If you hover over the icon with your cursor, it should highlight grey and display the text “view site information”.) Click and hold that icon, then drag it out of the browser window and drop it onto your desktop. You now have a shortcut to that webpage.

Thank you, Wig!

WELL HERE’S A TIP->
If you want to create a shortcut for a website like “YouTube” or “WhatsApp”, then instead of adding them to your favorite you can use them like apps with different windows instead of a shortcut with a link that again opens in the browser and not directly. It also does not has its own icon.
1.) Just click on ‘apps’ from the 3-dot menu when you visit the website.
2.) Then click on ‘Install this site as an app’ and install it.
Now the website would be opened in its own private window and would also show on the taskbar after you minimize it. Don’t forget to pin to use it directly afterward.
Your shortcut is created and you can now drag the website from the ‘apps’ to your desktop.
Now for the “App” thing:
The desktop shortcut app version of the website might be still looking like a link. Worries not, just follow the steps. Rest assured.
3.) Right-click on the website in the ‘app’ and choose ‘create shortcut option’.
4.) A small window will appear with two dialog boxes asking for the “pin app to” ‘Desktop’ and ‘Start menu’ options. Check both of them as your choice.
And now your website’s app version (or more like a shortcut but with “app” like feel) is created on your Desktop and also on the Start menu

Thanks mate!

I’m using the new Edge browser on a Windows 10 computer. This would explain why “Pin to Finder” doesn’t exist for some of us. The process is slightly different for anyone using Windows. The instructions I posted earlier will still work for Windows users. It’s now June 3, 2021, and I’m using Edge v91.0.864.37.

That’s probably because the Pin to Finder is available on Edge browser for Mac! Perhaps, Brad’s suggestion should be quite helpful.

Thank you, Brad!