The external link icon is only applied to _blank links

@chmst Your description is wrong.

You wrote:

Install a new joomla on a webspace with servername "localhost".

But to get that message it should be:

Install a new joomla on a webspace with servername not equal to "localhost" or "127.0.01" or "::1".

I don't understand?
I installed in my webspace and entered servername = 127.0.01 and got the message.

The check is here: https://github.com/joomla/joomla-cms/blob/4.0-dev/installation/src/Helper/DatabaseHelper.php#L381

The PR which added it back in J4 is here: #27360

No idea why you see that message if you had used "localhost" or "127.0.0.1".

But normally on a webspace from a provider, the database server is not localhost or 127.0.0.1.

Maybe you mix up the webserver name and the database server name?

The database server name entered in the installation form is relevant for this check, not the webserver's host name.

Hosting is not my field of experience ;) As a user I can enter only one servername during installation - it is the name of the database server.
127.0.01 is always an option - but probably depends on the server configuration.
The issue was the link in the message, and it is resolved with #33933.

Closing as having a pull request.