I see - got it. In case it is useful to anyone else:
I was finding that there was no option to add a URL when editing a slide, and there was no option to add a linking URL in the WP media library (not sure if that is normal or just something my theme is suppressing).
However, when *adding* an image to a slide, there is a box there to add a caption and a URL. So you you want to set or change a URL for an image slide, you need to add the image again and put in the URL while doing that. The image can be added from the media library, so it does not need to be uploaded again as a new image.