"TargetWindow" option in the Link Widget works different than "TargetWindow" option in Navigation Widget.
Link Widget was never implemented to show a Popup on top of the current window similar to what Navigation Widget does. Link Widget will open a new window or a new tab depending on the browser configuration for "pop-ups".
For example, Internet Explorer offers the following 3 options:
1. Let IE decide how pop-ups should open
2. Always open pop-ups in a new window
3. Always open pop-ups in a new tab
Reason why this was implemented like this: loading the external URL from the Link Widget inside a pop-up window like the Navigation Widget would create a security issue.
However, as you mentioned, in the Link Widget, the options "TargetWindow = New Window" and "TargetWindow = Popup Window" have the same behavior. While we already know how "Popup Window" should behave, I agree with you that "New Window" shouldn't depend on the popup setting of the browser. If you would like to have this reported to R&D, please create a Case with Technical Support.
I hope it helps!