In Engagement you can choose where the link Open on Network should take you either to your Facebook page or to the Facebook Business Manager.

Comments, messages, and ratings for your Facebook pages normally lead directly to Facebook via the button.

If you prefer to open the item in your Business Manager, you can tick the corresponding checkbox in the page settings of the profile. In the profile settings, select the Facebook page for which you want to make the change and select the page settings via the three-dot menu.

There you select Enable Business Manager Deeplinks in Unified Inbox.