This is how reddit works, and I think the Steemit guys are trying to emulate that.
How about this as a compromise: A toggleable user option that will pop a box up stating the Steemit post you just clicked the title of will take you to an external link? Personally I would not want that but it would be good for those like you that do.
Other ideas would be to make the external link more obvious by using a different title color. Or perhaps putting the link icon to the left of the title, and making it more pronounced with size or color. Presently the external link domain name is displayed next to the title, like reddit does minus the parentheses. But the color and size of that text is not very different from the size and color of the title text. Maybe that could be changed to make an external link more obvious?
Instead of a pop-up box giving users the choice each and every time, it would make much more sense to have a user setting to turn off direct external links entirely. Actually, if I was designing this platform, I would want to keep users on the site and therefore more engaged with the content. For example, if the post contains a video, why take the user away from the site when they can watch and listen to the embedded video in place while checking out the post's votes, replies, $ amount earned, etc? Ok, I understand Reddit funnels people away from their site. If such functionality has to be made available on Steemit.com, I would highly recommend having it turned off by default and give users a setting to enable it.