As a cautious web user, i use browsers and plugins that block tracker snad popups by default. They all seem to block your pop-up message to prompt users to open in the desktop app when first opening in a browser. Every time this happens to me I spend ages searching the menus for a link to open this file in the browser.
My suggestion is to either rebuild this op-up to not be caught by blockers, or add an option in the Figma menu (or file menu therein) to open that file in the desktop browser.
Also closing the browser tab at the same time would be amazing if possible.