There is a configuration that makes all links in forum open in new window instead of the current one?
Yes, go into your account settings, then under “Interface”. You’ll see the checkbox there. 
Although, it seems that setting only applies to external links. Do you want ALL links to open in a new tab?
External links only its fine, although I think it should be for all links
Usually you can use the middle mouse button or CMD + click on macbooks
For mobile…
For mobile, just press a link for 2 seconds.
But actually I understand the need. I’m using the discourse app, and it opens the forum in a “chrome custom tab”, so it’s really inconvenient to open links in it.