Unfortunately, currently, there is no Nintex out of the box way to make the Form download locally on MS Edge besides using the following hack, that one of our users brought to us.

1. Create a label on your form and add the following link as a hyperlink:: https://company.sharepoint.com/siteName/_layouts/download.aspx?SourceUrl=
2.  Replace “company” with your own company name and “siteName” with the site path.
3. For example https://gamero365.sharepoint.com/myGames/_layouts/download.aspx?SourceUrl=
4. The source URL should be the direct link to the attachment.
5. The full URL will look this:
6. https://company.sharepoint.com/siteName/_layouts/download.aspx?SourceUrl=https://gamero365.sharepoint.com/myGames/AttachedDoc.docx
7. In any browser, the file will be downloaded, even in Edge.

Please note that the use of the provided workaround does not guarantee that Nintex will support it if anything breaks while using it.