Hi Ioannis,
This is not something specific to our products, this is just how Joomla works
The problem is in your site configuration. More specifically, you do not have a menu item for your articles/categories and therefore the articles are being opened on the Homepage.
If you create a menu item for your articles/categories as you should (because as you know in Joomla "new page" = "new menu item") the articles from your Homepage will open in a new page.
The modules and the particles just take the URLs that are generated by Joomla.
Once again, it is just a site configuration issue. Remember, in any Joomla website, the most important thing is the Menu. It defines the site structure, it defines the URL structure, you assign modules to menu items, basically in Joomla everything is built around the Menus. It is a menu-centric CMS.
We have a very detailed
post in our blog that explains all this in details.
Or you might also want to search on Google for "
joomla articles open on homepage"