Did macOS change how spaces work?

When using Firefox full-screen in El Cap, when a link on a page would open a new window, that window would open in a new space (so I could then three-finger-swipe back and forth between the opening window and the newly-opened window). Now in Sierra, the new window shows up in the same space as the current window. Am I just missing or forgetting a setting that was configured in El Cap to make it work that way?