Feature Request: Trigger a warning message when a user is being taken out of the LMS context

Copied from: https://github.com/hypothesis/support/issues/193

## Feature Request Form
### There are instances wherein an LMS user is taken out of the LMS context and is directed to a different page, intentionally or unintentionally. Whenever this happens the LMS user has no clue that the page they are on is no longer related to the LMS app.

### Your solution
Whenever there is an action that will direct the user to a different page outside the LMS app, a warning message must be triggered to inform the user of what is about to happen.

Related:
https://github.com/hypothesis/support/issues/189
https://github.com/hypothesis/support/issues/195
https://github.com/hypothesis/client/issues/7210

Start by reading the linked support issues 189 and 195 and client issue 7210 to identify the navigation actions that leave the LMS context. Define which external redirects need a warning and verify that each affected action informs the user before navigation.

Written by the indexing model from the issue text.