Howdy Nat,
Good question! It should definitely be taking you to a new page. You can see what happens here: http://wpshindig.com/event/eventbrite-tickets-demo-event/ Perhaps a JavaScript error or popup blocker is preventing you from continuing on your site?
Would you mind logging in so I can verify your support access? Or, if you don’t have/want a license (which includes a year of support) you should checkout the volunteer community on WordPress.org: The Events Calendar. It’s not the same level of support, but it’s free! We even check those forums once each week and help to the extent we can.
Cheers!
– Brook