Hello ! I'm Aymeric, and I'm here to help !
InPrivate tabs locking is still a beta feature, and is not totally ready yet. At the moment, you cannot disable the lock if you've enabled it previously. As you said, you'll have to reinstall Edge.
In order to save all of your data, you'll have to connect Edge to your Microsoft account. Activate the data synchronization and let it complete (you can check the sync status by clicking on your profile picture in the Settings)
Once done, you can uninstall Edge and reinstall it. Log back into your Microsoft Account and let the data synchronize itself. Your favorites will be restored.
Feel free to ask if you have any other question !