You're right, there's no way to set this for files in the Our Files app.
In general, I prefer not to second guess the preference of users. e.g., perhaps people would be confused if it always opened in a new window? What about people using an iPad or mobile phone? etc.
I prefer to assume that web users are intelligent enough to open a link in a new window/tab themselves if that's what they want to do. (e.g., using middle click, or ctrl-click, or right-click and open in new tab, etc).
I think having the default action to NOT open in a new tab is probably most comfortable for most people.