Based on that session is not lost in a new window
That cannot be achieved with Test Studio. The new window will be a new session, a new set of cookies, from the web servers point of view. It will appear as "logged out" or disconnected from the original browser window.
You can switch back and forth between windows, but even that requires code, something similar to this code sample
. All non coded test steps will only work on the "active browser" which is defined as the last browser window that was opened and connected to by Test Studio.
I now understand your question/problem with "where is the popup" question. When you did the second Run To Here on step 6, the connect to popup window step, none of the steps prior to it caused a new window to open. The Connect to Popup window assumes a new browser window was just opened up in the step before it.
In reality you used a Right click and selected "Open Link in New Window" when recording. This right click action and menu selection was NOT recorded by Test Studio. Thus there's no test step that does this action during playback. As a result, during playback, no action was performed to cause a second window to open. The connect to popup is expected to fail for lack of a new window to connect to.