Is file link hyperlink protocol not supported in SharePoint?

Hyperlink which opens a file locally on SharePoint Fails (2016/2019).

When selecting the link, the console reports:

Not allowed to load local resource: file://

If right click and select copy link and paste it into a new tab, the browser opens the file hyperlink protocol from the local location.

Understanding SharePoint has this statement this protocol is not supported, has anyone created a work around to this matter? Besides the step above of copy and paste?