I use the Sharepoint Pages Teams app to put any Sharepoint site pages in a Teams Tab in a channel. I noticed that if this site page contains links toother Sharepoint pages that they don't open in the Teams Desktop app. They open a new browser tab. On the other hand, Teams for web does not open a new browser tab but opens the new page within the Sharepoint pages app, like one would expect.
Is it normal behavior that Links on site pages do not open in the Teams client? I can't recall that being the case but never really paid much attention to this behavior. The Website app always opens in a new browser tab, for Teams web and desktop but that's what I expect.