In full agreement - opening the links embedded in a field's help text opens the link in the same tab by default, erasing all field entries made to the webform. Links are a liability. Every Help Text link needs to default with opening in a new tab.
There was a helpful workaround solution posted by @sharkasits in this thread, by adding
&target=_blank
or?&target=_blank
(if there isn't already a ? in the URL) to force a new tab. It worked for me, hope it serves as a workaround for you. Using "Click here to..." as opposed to a big gnarly url to copy / paste is a much more elegant solution.