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Make sure you have 'enabled tabbed browsing' selected under Safari preferences. Incidentally, the other shortcuts are shown there too.
 
I've also always had this problem with Safari - cmd-click on a bookmark doesn't open it in a new tab. I've just worked around it by putting my bookmarks into groups (eg online comics, mac news/rumours, etc), and then use the "open in tabs" option to open all of them in separate tabs in one window.
 

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