I think you've misunderstood the feature. It shows an overlay window of another part of the same PDF you're already in. It doesn't open another PDF or a website

I think you've misunderstood the feature. It shows an overlay window of another part of the same PDF you're already in. It doesn't open another PDF or a website or anything, it's just a small preview of another page essentially. You could just as easily scroll to where the reference is placed in the PDF, but this lets you quickly preview the section without actually leaving your position in the document.