This is intentional, ideally the sidebar should be extended using the API… this helps us maintain any custom links/sections added here.
At the moment it looks like the external link targets are all or nothing based on the user setting external_links_in_new_tab… so even with a custom section/link added via the API there’s not a method to change the target for a specific link. It would be possible to add this option… though historically we tend to lean towards respecting the user’s preference for how links are opened.