I came across your question when I was about to post a similar one! No thanks needed. I know they probably like to keep Wikitree simple in the allowable usage and I'm sure there is a way since various pages inside Wiki do have target=new links (might be expressed in the scripting differently - my knowledge is a bit old hat these days). I am also aware of one of my pet peeves when going to a website and clicking through various links when EVERY SINGLE LINK opens to a new page or tab, but with sources, I would think it would make sense to have them open on a new page.
Then there is the thought it might have something to do with traffic and statistics. They may seek to know who 'stays on Wikitree', versus who is just passing through. I'm sure I'm not the only one who has ever left a tab open when I'm not actively using it, but there are ways to keep track of idleness and activeness.