Links opened in new windows can break web site flow (creating a change of context) and disorient users who don’t realize they’ve moved to a new window. Also, it takes away the option of opening in the same window/tab: all browsers have an option to open links in a new tab, few have an option to open in the same tab.

Accessibility fix settings with Remove tabindex from focusable elements highlighted.

WP Accessibility will leave the attribute intact if you add the class .wpa-allow-target to your link.

Further reading about changes of context