Hi Josh,
Hm, that's interesting and unfortunately I can't seem to duplicate it despite quite a bit of testing. Links in the widget have a call to window.open when the guest clicks a link, so they really should always open up in a new tab/window. Our developers tossed around some ideas about possible causes and about all we can think of is that maybe there are certain browser settings (or browser extensions) that break the window.open functionality.
Really sorry to not have a slam-dunk answer or promise to improve it. If, by chance, you have a configuration on hand that reproduces this behavior, we'd love to take a look at it!