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The different ionMy URLs are opening as expected when accessed directly or via a PDF we are satisfied there is no issue with the system/access itself.
We have done some research and it looks like there might be a known Microsoft issue. When URLs to web applications are accessed through MS Office (excel, word) and are protected by SSO an error is shown.
The suggested workaround would be to PDF word documents which enables the URLs to work properly (which the team tested earlier without issue).