I have never had the Diagnose Connection return any useful information, whenever I have tried it.

According to AI (Google: "windows 11 Diagnose Connection goes to Microsoft Store web link"):
When the Windows 11 Network Troubleshooter ("Diagnose Connection") redirects to a Microsoft Store web link or the "Get Help" app, it indicates that the automated diagnostic tool is failing to run locally and is defaulting to a web-based support page.
This is not surprising. Also not surprising is that the web link was not to anything useful either.

What exactly were you hoping the the Diagnose Connection program would do for you? If you can reach sites on the Internet, what is not working that would need to be fixed?

If you could post a screen capture of the EXACT error message that you are getting when you try to open the Chess program ("Go somewhere else to find an app that will open this app!"), that would be helpful. A list of the programs where you get this or a similar message might also be helpful, along with the EXACT file name AND extension of the file or link that you are clicking on. I am still thinking that your file associations are not properly set up.