And after testing on Linux (Manjaro under KDE plasma desktop), again the non-native QFileDialog is smart enough to handle that case.
It returns a qmessage box with the following error message:
The selected URL uses an unsupported scheme. Please use the following scheme: file
with an Okay button that when pressed brings you back to the file open dialog so you can try something else.
It is interesting, the MacOS version search for that file locally but could not find it since it was a external file via url. The Linux KDE filedialog, recognized that you were trying a url but it only supports local "file:" schemes for urls not external links.
So this crashing bug seems to be specific to Windows and most likely to its native filedialog box.
There are even Qt bugs that are related to this about how using a QFileDialog from inside a QDialog causes crashes on Windows under certain circumstances. See
https://bugreports.qt.io/browse/QTBUG-136333 But they were reported for Qt 6.8.3 not Qt 6.8.2 we use on Windows. But maybe they were never tested.
So we could try using a non-native file dialog box here on Windows as this testing of the file happens inside the qfiledialog and can not be screened for in advance by Sigil code.