What are Edge_BITS?
It's a directory in %TEMP%
that was presumably created by Microsoft Edge, judging by the name and by the fact that Chromium browsers can have similarly named directories. Inside are some temporary download parts, perhaps. You could track the folder with e.g. Process Monitor to be sure which apps write to it in real time, if any. You can also always scan the file in VirusTotal if it's not big to be almost sure it's not a virus.
Is this something that is unique? The sample message? Do I have to worry?
You don't have to worry about anything. This message happens because you have automatic sampling enabled in:
Windows Security
-> Virus & threat protection
-> Manage settings
-> Automatic sample submission
That settings states:
Send sample files to Microsoft to help protect you and others from potential threats. We'll prompt you if the file we need is likely to contain personal information.
... which in this case is rather unlikely to contain personal information, but maybe it just does it because it's in a user folder.
You can even disable this setting without losing much security as this only potentially helps improving security in the future, it doesn't quite protect you on a regular basis. It helps Microsoft and people using Defender in the future more than it helps you.