Bidirectional content redirection policy is configured according to following document.
https://docs.citrix.com/en-us/xenapp-and-xendesktop/7-13/policies/reference/ica-policy-settings/bidirectional-content-redirection.html
When user trying to open a link should be redirect to VDA server, "How do you want to open this type of link (https)" pops up.

In order to modify Associations Configuration File for HTTP and HTTPS protocol for all needed users, please follow below action plan:

1.Create Default Associations Configuration xml file with following content, save it to UNC path so that all users can read the file.
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<?xml version="1.0" encoding="UTF-8"?>
<DefaultAssociations>
  <Association Identifier=".htm" ProgId="IE.AssocFile.HTM" ApplicationName="Internet Explorer" />
  <Association Identifier=".html" ProgId="IE.AssocFile.HTM" ApplicationName="Internet Explorer" />
  <Association Identifier=".mht" ProgId="IE.AssocFile.MHT" ApplicationName="Internet Explorer" />
  <Association Identifier=".mhtml" ProgId="IE.AssocFile.MHT" ApplicationName="Internet Explorer" />
  <Association Identifier=".partial" ProgId="IE.AssocFile.PARTIAL" ApplicationName="Internet Explorer" />
  <Association Identifier=".svg" ProgId="IE.AssocFile.SVG" ApplicationName="Internet Explorer" />
  <Association Identifier=".url" ProgId="IE.AssocFile.URL" ApplicationName="インターネット ブラウザー" />
  <Association Identifier=".website" ProgId="IE.AssocFile.WEBSITE" ApplicationName="Internet Explorer" />
  <Association Identifier=".xht" ProgId="IE.AssocFile.XHT" ApplicationName="Internet Explorer" />
  <Association Identifier=".xhtml" ProgId="IE.AssocFile.XHT" ApplicationName="Internet Explorer" />
  <Association Identifier="FTP" ProgId="IE.FTP" ApplicationName="Internet Explorer" />
  <Association Identifier="http" ProgId="IE.HTTP" ApplicationName="Internet Explorer" />
  <Association Identifier="https" ProgId="IE.HTTPS" ApplicationName="Internet Explorer" />
  <Association Identifier="MK" ProgId="IE.HTTP" ApplicationName="Internet Explorer" />
  <Association Identifier="RES" ProgId="IE.HTTP" ApplicationName="Internet Explorer" />
</DefaultAssociations>
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2.Go to GPO - Computer Policy -Windows Components / File Explorer / Default Associations Configuration File, specify the file created in step1.

3.Run gpupdate /force

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Problem Cause

Default Associations Configuration File configured for HTTP and HTTPS protocol is a setting that effectives per user, not per machine