Sorry, no documentation on this although I’ve been meaning to make some videos for the WordPress menu system. Please, head over to Appearance > Menus and click Screen Options top right, there you should see a checkbox for Link Target. Once enabled you’ll be able to set a link target for each link in your menu (Open link in a new tab). Hope that helps 🙂
Thanks for your email reply. It looks like the core WordPress menu system is conflicting with a plugin you have installed called Permalink Manager. If you’d like to use the Link Target feature of the menu system it looks like you’d need to disable Permalink Manager or perhaps check with their support regarding the error their plugin is producing.