Mine too is greyed out if I choose a Component
as the link type.
However, the open button becomes enabled if using http://
as the link type, and can be used to open the linked page (e.g. The BBC website) in a new browser tab.
Copying and pasting the TcmId of the Component (e.g. tcm:234-122967
) into the search box is the only way I know of opening a linked Component.
If this is not a bug (or browser-specific anomaly), then having the open button open up the Component would be a good suggestion over at SDL Web Ideas.