This is problematic when opening links to other websites that require separate authentication. A typical example would be a Gmail web app, and then trying to open a link to a GitHub PR.
In the 18.0 release notes, this is mentioned as
Added support for opening links directly in web apps on macOS. (113034778
It'd be great if this could be customizable so that one could choose the old behavior.
Selecting any option will automatically load the page