This is more of a suggestion, but it would be great if the text that says "Open external links in Preview (hold shift to open in new tab)" indicated that the reverse is true when you un-check it.
Personally, this workflow would be clearer if it was like the dropdown for the tab switcher UI, and said something like:
External links should open in Preview:
Option 1: By default
Option 2: Only when using shift+click
This would clearly indicate to the user they have two options to toggle, and what those options are, rather than making it simply On/Off.