I have also found this extremely annoying and assumed that it was sheer arrogance on Apple's part in pushing their own browser. I prefer Firefox and have it as my default browser but that behaviour was negating my choice. I have found however that I am able to change the 'opens with' to Firefox - it is not greyed out for me on my M1 mini. It is still annoying to see Safari listed as being the default when it is not so on my computer.
Thank you for this topic which has solved the problem for me, though is was still annoying to have to change each webloc to what it had been originally. I hope I don't have to do this again every time there is another updating of the OS.
And now I am really annoyed. I went back to test the change and it has ignored it so that I cannot simply click to use the browser I prefer. It seems I have to choose opens with every b.... time, or use the work around mentioned above, or drag the url into my browser window as I had been.