With Bob's comments below noted —
A fixed-page EPUB is indeed a horse of many colors. It's a format to be avoided for new works unless nothing else will work (which boils down to mostly-image books that have to go through an EPUB seller).
Some apps that manage links have a checkbox or the like for the link to "open in new window" and if you check that, the app or export will add the appropriate code to the link. I don't work much with hyperlinks in INDD or EPUB docs other than TOCs etc., so I may not have an absolute answer.
I've just tried several things, and can't seem to figure out how to add the target command to a link within InDesign; frustrating, because I have fairly high mastery of web development. But, a plain link (to Wikipedia) opens in my browser from both Calibre reader and Kindle Previewer. That is — it works, and it works as expected, not opening within the e-book reader. So I am not sure the target command is needed, but maybe another brain here knows what ID wants in the link space to add the target command.
So I suspect the behavior you're seeing is peculiar to ADE, which tries to be an all-in-one e-reader and (to continue my gentle deprecation that always amuses Bob) proves to be a zero-in one app. Don't use it; check the link behavior in whatever end point readers you actually expect your users to be using.