It's not so much that the Zone takes over an already-open window but rather that you've reused a window that the Zone previously opened. The geekspeak is that links are wrapped in a bit of script that opens them in a window named (something like) "OFFSITE". If the window doesn't already exist the browser creates it; if it exists, it reuses it.

I think what happens is that you follow a link in a page opened that way, maybe surf it for several links, and so you start to think of it as your own. It's no longer the window opened by the Zone.

It is possible to open a new window for each link, but as you say, it would soon clutter a person's display. I thought about the pros and cons, and decided to err on the side of consideration.

A simple way to break divorce a window from the Zone is to clone it, using File>New>Window on the menu, or pressing control-N. The cloned window no longer has the same name, and so it won't be overwritten next time you click a link in a Zone message.