When you place a link into a WordPress post or page the link window, where you specify where the link is to lead, has a check box for specifying that you want to open the link in a new window.
There is a similar box in the advanced settings tab of any graphical element you place in a post or page.
If one of those boxes is not checked on the “target= _blank” links then I would suspect a setting in one of your plugins, probably an SEO plugin.
The troubling part is the inconsistency. A plugin setting should be a consistent result.