'Potential Identity Leak' Using Ctrl-Click

A strange 'Potential Identity Leak' NoScript modal shows up every so often when using Ctrl-Click on links to a different webpage. Having never used NoScript until this browser, I do not know what the text is really supposed to imply.

You are about to load a page from otherwebsite.com.

If you are a otherwebsite.com logged-in user, information about your identity might be acquired by thiswebsite.com.

[ ] Load anonymously
[ ] Load normally

How is this supposed to work? Are tabs not sandboxed or is that only true of Chromium-based browsers? I do not normally use NoScript but its a default integration in the browser and although I would genuinely rather remove it and buff the uBlock Origin settings, I have read that is ill-advised.

See discussion: https://github.com/mullvad/mullvad-browser/issues/301