This is intentional as a way to help you get around the fact that some apps prefer to show all web content inside of their own in-app WebView and make it difficult for JavaScript redirects (like what Firebase Dynamic Links typically does) to take you to the App Store.
That said, I know it's not always a great experience, so the team is looking into adding an option to make this interstitial page optional for your links.
EDIT: There's now a way to skip the interstitial if you'd like. Add the argument efr=1
to your link URL, and it will skip the page and attempt to redirect you directly to the appropriate location. If you're generating a link in the console, you can click the "Skip the app preview page" checkbox in the advanced options.