The files already on the computer as well, or the files that Edge downloads?
Technically both, depending on a few factors. Obviously files downloaded via Edge will be scanned by SmartScreen to determine if they're malicious.
Files that are both executables and sporting Mark of the Web will be checked by SmartScreen that's integrated into Windows 10, which is separate from Edge's version and includes files downloaded from other applications that apply MotW to files (3rd-party browsers, email clients, etc.).