I think this is new and we have that for a few weeks now. For example you share a link to a website in Chat and you click on that link you will see a message in Chrome asking if you are sure about that. See screenshot even though if that one is in German you should know what I am talking about.
It seems that this is intended behaviour, but it requires you to click again on that link. And that is one click to much. If this should be some security stuff it is badly executed. Why not add a timer and it will automatically open the link after 5 seconds. The best would be to have an option to turn this off. I don't see any sense in this.
Maybe someone can share some light on this? It costs time and is not helping.
Update: Since I am not very pleased with this I tried holding down a few keys and found out that if you press "command" and then click the link the website will be opened right away. This is on Mac. I am sure there is something on Windows too.