You can configure a notification to open any web page either in a web view (in front of your app) or in the browser.
You may want to load a web page in the phone's browser if the web page wants to take advantage of an auth (which uses an auth providers cookie), for example, Facebook. That auth wouldn't be available from a web view.
To have a notification open a browser with the link, at step 2 of Create/Edit a message, choose a Dynamic Push Notification as the Message Type and include the web link in the the URL/deep link field.
To have a notification open as a web view with the link, at Step 2 of Create/Edit a message, choose an In-App Message and enter the link there.