I can tell you that I've put $wgExternalLinkTarget = '_blank' in my LocalSettings.php, and I've tried using the following on my MediaWiki:Sidebar page:
** http://mydomain.com/gallery/ | Photo gallery
and
** [http://mydomain.com/gallery/ Photo gallery]
In the first case, the 'Photo Gallery' does not open in a new page, and in the second case it doesn't even show up as a link in the sidebar. I think I'm confused.
I admit i have never tried it before. Now i did and it doesn't work for me.
according to https://bugzilla.wikimedia.org/show_bug.cgi?id=21278 and after reading through the source code i thought the syntax should be something like this.
{{** [http://mydomain.com/gallery/ Photo gallery]}}
But it didn't work out. It simply didn't show up. It would be very nice if Platonides could give us an example.
Anyway i think the fact that the sidebar doesn't take care of $wgExternalLinkTarget is worth a bug report. https://bugzilla.wikimedia.org/show_bug.cgi?id=29533