(There was previously an enhancement for this, but they closed it saying "implemented in 2022". Nope...)
The "Open the survey in the Survey123 field app directly" option used to generate a URL which opened the survey in the Field App. No extra steps required.
Here is the selection in question:

Here is the old URL format which used to appear in that field:
arcgis-survey123://?itemID=<YOUR_ITEM_ID>&portalUrl=<YOUR_PORTAL_URL>
A couple years ago, they got rid of that super helpful URL and replaced it with the standard HTTPS URL. This is less useful. Clicking this URL now takes you to an intermediary web page:

And at the bottom of that web page we find...

Our old friend.
If you want to keep that new URL, fine. You can keep it. But why not just add a fourth option!
Super high-quality concept art:
