I use Edge (NOT Edge chromium yet) When I click on the link, the domain management page opens in the same tab (replaces the queries page). I use a wheel mouse. I normally open a link using a wheel click, which always opens the link in a new tab, but that doesn't work in the pihole web interface.
Also tested with firefox. The wheel click also doesn't work, but a normal click DOES open the domain management page in a new tab, so the behavior is browser dependent.