When I clicking in browser on a link like webdav:// then xdg-open is called and it looks for a registered app that can handle the protocol. If any app supports the protocol schema then it must declare it in it's *.desktop file.
When installing these desktop files are stored into /usr/share/applications
For example you can add the following line to the dolphin.desktop file

MimeType=x-scheme-handler/dav;x-scheme-handler/davs;x-scheme-handler/webdav;x-scheme-handler/webdavs;

Then you need to execute `sudo update-desktop-database` and after that when clicking on the webdav://example.com link the Dolphin will be started

We need to add the MimeType line to the file
https://invent.kde.org/system/dolphin/-/blob/master/src/org.kde.dolphin.desktop

The dav:// and  davs:// will be added in scope of
https://bugs.kde.org/show_bug.cgi?id=365356

Other protocols like sftp, ftp, fish, etc needs to be added too.

Similar problems are for Gnome Files (Nautilus), Mate Caja and probably others file manages