The accepted answer didn't work for me. I found a better solution, at least for Windows.
Create a .reg file (I opened a blank file in Notepad, put in the following, and saved it as 'Fix Chrome Magnet Links.reg', then ran it and restarted Chrome). Contents should be:
Windows Registry Editor Version 5.00[HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Google\Chrome\URLWhitelist]"1"="magnet:*"Tested and working. With a bit of luck it will keep working across multiple Chrome updates, and is much easier to install.
This solution is adapted from https://t-e.cc/google-chrome-no-longer-displays-always-open-these-types-of-links-in-the-associated-app-checkbox-fix/