Hi,
TAdvWebBrowser is a completely new browser architecture based on Edge Chromium. The default component similar to TAdvWebBrowser is TEdgeBrowser in VCL. When dropping an URL on TEdgeBrowser, a new window pops up with the contents of the link, so the behavior is currently identical to the default TEdgeBrowser. TWebBrowser was based on an older deprecated Internet Explorer and cannot be compared with the current implementation unfortunately. There are ways to intercept opening an new window, and launch it inside the webbrowser itself (TadvWebBrowser, New browser starts with readonly Url and no buttons - #2 by Pieter_Scheldeman)
About the intercept of TApplicationEvents, Can you provide a code snippet or sample to demonstrate what is going wrong when using TAdvWebBrowser so we can investigate here if there is a workaround?