There is no mystery that links have disappeared from the blogroll.
As of 3.5 they were gone. Those in the know will have worked out that creating a custom menu achieves pretty much the same thing.
Pernickety folk will be asking how do you set the target, to open a new window. Well you can’t. If you are that bothered there is nothing to stop you hand crafting a little bit of html and you can set the target there. I think it is fair to say that usability wise having new windows open is a major irritation for many and downright confusing for the rest, so this is no great loss.