This is happening in my code but also on the live demo of 'Enhanced Image' (Image2) at http://ckeditor.com/demo#widgets (scroll down).
I want to select a word in the image's caption and link it to a new window. But the target tab is greyed out when I open the link dialog.
I need to link to a credited source for the image and would rather do that in a new window. Seems like there is no way unless someone has a work-around?