Every address starts with a scheme (https:, http:, mailto:) that tells the browser what protocol to speak. This error means the scheme is one Chrome does not know how to open: usually a custom scheme belonging to an app (intent://, a banking or conferencing app's private scheme), a web+ handler nobody registered, or a malformed link where the scheme is misspelled or mangled.
httpshttps://, htp://) or a link copied with extra characters produces this instantly. Correct it to https:// and retry.A scheme error that appears for one specific link, everywhere, means the link itself is built wrong (the site's markup names a handler that does not exist). Report it to the site; no visitor setting can register a protocol on a website's behalf.
Is ERR_UNKNOWN_URL_SCHEME dangerous? Not by itself; it means the browser declined to open something it does not understand. Treat unexpected scheme links in emails and messages with the usual suspicion, since custom schemes can invoke apps, but the error itself is the browser refusing, which is the safe outcome.
What is the difference between this and a 404? A 404 means the browser successfully spoke HTTP to a server that said the page is not there. An unknown scheme error happens before any server contact: the browser cannot even begin, because it does not know the protocol the address names.