The open in new tab links of Newsletters and Question Subscriptions in the site's Edit Profile & Settings under the EMAIL SETTINGS are not open in the new tab, instead of it opens in the same page.
This issue exists in all the Stack Exchange sites.
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The icon doesn't mean the links will open in a new tab. It means the links point to a different domain than the one you're currently on.
When clicking on those links, you are leaving
meta.stackexchange.com and navigating to