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I have checked this page of your website and can confirm that the links do not open up in a new window/tab. I think I was able to fix this by editing the first picture link. I just clicked on "Edit", and then on the "Choose a Link" button. The Link Editor showed your link URL, but the checkbox for "Open in a new window" was unchecked. I checked it, saved it, and when I clicked on the link in Preview, it opened a new tab for me.
Can you please test this in your Sitebuilder, then re-publish your site, and check if it's working on your live site as well? If it should not be working on your end, do I have your permission to test this feature on your account, which will include re-publishing your website?