I hesitate to name this as a bug since there are so many configuration settings and I may have missed something..
Server layout:
/example_php_include.php (web root)
/gallery/ (where TWG is installed, sub of web root)
The 'New window' command though is apparently not taking $php_include = true; and/or $install_dir = "gallery/"; into account... trying to open gallery/index.php instead of example_php_include.php.
All other operational aspects that I have tried while testing the example_php_include.php work fine so I kind of figure this might just be a bit of .js that was overlooked.