It probably has to do with a setting in Adobe Acrobat Reader DC. Fortunately the fix is easy. In Adobe Acrobat Reader DC, go to Edit > Preferences. In the Security (Enhanced) category, deselect the option to "Enable Protected Mode at startup". This should resolve the issue, and PDFs as External Items should now behave as expected.
Check to see which program your system is set to use as the default for PDF files. If it is Bluebeam, try setting the default to Adobe Acrobat Reader DC.
To install Adobe Acrobat Reader DC: https://helpx.adobe.com/acrobat/kb/install-reader-dc-windows.html