This was a bug. Which beta update are you using? The 6/20 update should have fixed this.
Indeed, it was fixed with the next update, sorry for false alert and for the fact I couldn't reply earlier. And thanks.
I only have one Steam Beta available, I am using that.
Nothing extracted yet.
Recent beta update made steam open all, even internal links in a new window. However it did not bring an option to configure that behavior. Can we get that please?