This is intentionally designed. FileMaker will not allow window open triggers (OnWindowOpen and OnFirstWindowOpen) for Go To Related Record, as it may go to a layout or view that users do not want.
I find this thinking very confusing. OnWindowOpen should always run when a new window is created - that is the definition of an OnWindowOpen trigger.
It would make more sense and be more consistent is the GTRR did trigger the OnWindowOpen script and the layout issue could be worked around. I want a script to run for EVERY window opened and the fact that I (after 25 years of working with FileMaker) am surprised that this did not happen for GTRR initiated windows is indicative that the default behaviour is perhaps incorrect.
I would suggest that the inconsistency of OnWindowOpen NOT running with GTRR is more likely to cause problems - especially as even experienced developers are surprised by the current behaviour.
My proposal is that the GTRR script step should by default trigger the OnWindowOpen script. Perhaps it could be an option checkbox for backward compatibility.