External share, read-only, password protected - Normal click does not open file (or do anything)

We've created a reasonably secure place to share documents with key stakeholders, by (externally) sharing a folder on one of our SharePoints (external sharing is enabled).  It is read-only, and behind a single password for all external users.

Everything works initially (the share displays the files upon password entry), but for some reason it does not allow the external user to simply click a file to initiate interaction  with that file (opening/downloading/whatever).  Clicking does nothing.

They have to right click and choose "open" or "download" or whatever.

Then it works fine.

This is just the sort of minor user experience failure that may cause us to buy some costly third-party solution that will take our files off tenant.  *sniff*

Help!!!
Thanks