Quirk with Links in Modern Document Libraries

I think we have another instance where the web parts don't work the same way that the main library does.  In a modern library and you create a link from New -> Link, and you click it, it opens in browser just fine.  If you use the library web part on a modern page, when you click the .url file it prompts to save it first then opens in browser.  Why is it different?  This is Chrome, and in IE it gives a Save/Cancel prompt:

If you go to the main document library it opens just fine.  What can we do about it?  Is this a bug?  Don't even get me started how modern view formatting isn't respected in the List web part.