I can’t create a linked panel.
Clicking with the Command key held down in Edit mode simply opens a link in the same panel.
Clicking the Command key in Preview mode opens the link in the new unlinked panel.
Cmd-click simply opens it, as to click is normally to edit instead of following link. Do Cmd-Shift-click to open in new panel.
Panels opened this way are not automatically linked. Actually I don’t understand why you would like to auto-link them, as you would lose your trail; might as well just click?