First, thanks for the plugin. If I make it to work, it would be just perfect!
Second, I installed the plugin and I do see the option of adding custom link, like in your screenshot. However, then the next step for me - after creating the gallery - is edit the gallery. That's how wordpress takes it. And there I have the gallery settings - media file or attachmetn page. I can't choose anything else.
Am I just not getting something? I do use gallery shortcode.