How to reproduce:
1. Create a new project
2. Switch platform to Android
3. Go to Preferences -> External Tools and disable Use embedded JDK
4. Browse for new JDK and select incompatable one (9.0 or 10.0)
4.1 You should get a popup with warning saying that it is imcompatable Java version
5. Click on download button
Result:
On mac -> There is no application set to open the URL and url doesn't open in the browser
On PC -> only project window opens in finder

Reproducible: 2018.3.0a6, 2018.3.0a7
Not reproducible: 2018.3.0a5

Tested and reproduced:
MacBook Pro macOS 10.13.6
PC Windows 10 Home