I came across this bug just a minute ago (desktop). When in the editing window, if you italicize or bold a bracketed link, it will a) be clickable in the preview window and b) will not open a new tab.
If the link is not formatted, it will not be clickable.
Steps to Reproduce
Go to your forum preferences > interface > other. Make sure “Open all external links in a new tab” is checked.
Just tested this on my site.
When formatted the link in the preview pane is both
a) clickable in the preview window; and
b) does open in a new tab.
If the link is not formatted the link is not clickable in the preview window as you state.
Once the reply is saved, it is clickable and does open in a new tab.
Normally I’ll just use the hyperlink icon in the reply to add a link and text and so far as I remember, they’ve always been clickable and open in a new tab from the preview pane. I usually format the text/hyperlink after creating it.
I have my personal preference set to open all external links in a new tab.