I just looked at this. It’s pretty broken. The edit link is actually on a different page (that the plugin didn’t know about) and there’s no hook to modify that edit link anyway.
There’s lots of ways to fix this using copies of woocommerce templates in your theme directory. The easiest would be to copy /wp-content/plugins/woocommerce/templates/myaccount/my-address.php to /themes/THEMENAME/woocommerce/myaccount/my-address.php then edit it so that it reads (something like–I haven’t tried it):
Old line 51
<a href="<?php echo esc_url( wc_get_endpoint_url( 'edit-address', $name ) ); ?>" class="edit"><?php _e( 'Edit', 'woocommerce' ); ?></a>
to
New line 51 and more
<?php if ( $title == 'Shipping Address' ): ?>
<a href="<?php echo esc_url( '/my-account/multiple-shipping-addresses/' ); ?>" class="edit"><?php _e( 'Edit', 'woocommerce' ); ?></a>
<?php else: ?>
<a href="<?php echo esc_url( wc_get_endpoint_url( 'edit-address', $name ) ); ?>" class="edit"><?php _e( 'Edit', 'woocommerce' ); ?></a>
<?php endif ?>