The problem only occurs when I am in Full Screen mode in Excel.
When it's not in Full Screen, I can right-click on any sheet tab, no matter where they're located along the bottom, and never see that mini Finder menu appear.
That bit of information makes all the difference in the world. I have been able to reproduce the issue in v16.39 running on macOS 10.14.6, so it doesn't seem to be OS, version specific, user specific... It's a bug. In Full Screen View the tabs directly beneath the filename are affected as you've described.
This is something which needs to be addressed at the developer level. Please use the icon at the extreme right end of a wkbk window title bar to report the issue. Include a reference to this conversation as well. I'll report it from this end, too.