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Try calling ChromiumWindow1.LoadURL(targetUrl) instead of using LoadRequest because that function may fail with bad IPC message reason INVALID_INITIATOR_ORIGIN (213) unless you first navigate to the request origin using some other mechanism (LoadURL, link click, etc).
Here's an example to add or replace an HTTP header :
https://github.com/salvadordf/CEF4Delphi/blob/16f76f39aa2cb898a587b15bb39367e077bd9e6d/demos/Delphi_VCL/MiniBrowser/uMiniBrowser.pas#L1229
Consider using a TPageControl like the TabbedBrowser2 demo. You can hide the tabs and select the new browser tab automatically.