I agree with OP as how Orion handles links now is not expected (to say the least).
But even worse: If I mark some link to open in Orion by default while "Remember my choice" is enabled, it keeps opening the external app, although in settings it states "Open in Orion". In another words, regardless of what was selected with "Remember my choice" activated, Orion keeps opening the links in the external app, even after force closing and restarting Orion.
If the basic behavior won't change (i.e. present the options before actually opening the link), should I create a new option for the bug above?
Orion 1.3.3 (4)
iPhone 11 / iOS 15.7