I saw your post just now because I ran into the same problem as I did in 2015.
I do have PDF set under Config - Downloads and it do opens directly.
The only thing I want is that it opens in a new tab and not in the same tab.
This is because there is a music player on the page with the link (module jDownloads Latest), after clicking the player now stops.
Because the PDF that it opens contains the music lyrics it's not logic to let the music stop
Thanks again in advance.