Pressing enter always does the blue button thing, not the highlighted thing

So simple example of the problem.
I go File -> Open Recent -> My_recent_project.
Then a window pops up with 3 choices 'New Windwo' 'Cancel' 'This Window'. The last button is Blue. But the first button has the highlight around it.
When I press TAB I can see that the Highlight jumps from on button to the next.
When I then leave the highlight on 'Cancel' or 'New Window' and press enter, it opens the project in the SAME window.
Like it always just does the blue button action, not the highlighted one.

Is this normal? How can I select the highlighted action?
Everything works when I use mouse, but I'm not that big of a drag-and-click of a person.

Using macOS 10.13.3, Macbook Pro 15"