I suspect this is a poorly conceived security feature in case someone shares a note or link with you and it leads to a fake evernote site. It would be far far better for them to force the text "such and such site (external site)" into the original link. You can also put an icon next to it that indicates it's an external site. You can also include a "do not show this message again" checkbox. You could also make the "leaving evernote" page just show for 1-3 seconds and then take you to the desired site.. This is aggravating and really reduces the usefulness of evernote.