Attachment URls and Media Collection

I want to embed a collection of images in one of my posts and I want each of the images to be clickable, in order to have it open in lightbox,

When I create the collection and try to embed it, I choose “Link to Media” but the images in the post rather point to the attachment urls and not to their individual full sized image.

This is contradicting my chosen option, but it is a further problem because I have enabled your plugin to redirect attachment urls to post urls.

So the images do not open in lightbox and when clicked they rather reload the post.

I am guessing this might be more a problem with WordPress than with the plugin, but I don’t know.
Is anybody else getting this?
Shouldn’t thumbnails be linking to the full size image?

http://wordpress.org/extend/plugins/wordpress-seo/