Absolutely not. You might think that's annoying if you have to switch after clicking, but usually I want to continue reading undistracted until the end of the paragraph that contained the link and *then* switch. If there are more than one link to click, it's even more pronounced.
And it's not an issue in any of those programs anyway. It's the responsibility of the window manager and it's called "focus stealing prevention", most probably as an option :)
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