I don't know when this was fixed and who did it (Wine or Mikrotik), but as of today I can again "Open in new window" without delay.
I didn't try it for a while, but every now and then I test it, and today, to my surprise, it worked as it was working until a few years ago.
My OS is OpenSUSE Tumbleweed, Wine 10.15, Winbox 3.42.
