When using Brave on xfce/xubuntu, every time the browser is launched via exo-open --launch WebBrowser and it is already running, you get this error message.

exo open error message

To fix this, create a file ~/.local/bin/browser (or whereever you prefer it to be) with

x-www-browser "$@"
exit 0

Replace x-www-browser with whatever browser you would like to be launched. The exit 0 suppresses the error message.

Now launch exo-preferred-applications and select the newly created script as default browser.

exo preferred browser

That’s it!

Don’t let the browser set itself as default browser, because this would revert these settings.

Thanks to Jonas.