Hi Darren,
What is happening is that your SCORM course is running within the SCORM player. When it redirects to a URL it is loading the page within the context of the SCORM player, thus the nested panes.
You may be able to get around this with some custom coding instead of using the "On Exit" action to redirect to a URL. The code will need to find the parent window and then send it the URL to open.