It is functioning as designed due to the fact that mailto: is a way to brng up the default email client. As such you cannot tell it to use webmail by default.
What web mail service do you use?
The goal is just to keep Outlook Express out of the way or disable it.
My webmails are AT&T, Yahoo, and AOL. The Outlook Express was set-up to use one of the AT&T-Yahoo accounts.
I avoid the O.E. through use of browser tabs and composing emails in a separate tab, copy & paste, and if necessary, retyping email addresses. This is not really a problem; it gets the job of emailing done, avoids O.E. getting involved, but is a little less efficient.
A basic problem I have is not understanding O.E. too well, now getting some message from it at times which I do not understand, and wishing to not let O.E. interfere with messages in my email account. I want the messages to be kept in the webmail account. I have good control of what I do through the various webmails. Outlook just complicates things. If I open O.E., it might do something to the account that I do not want it to and i am not clear on how to prevent anything. (That's why I might try one or two NEW email webmail accounts and try to learn to use Thunderbird, so as not to disturb my more important email accounts).