NOTE: I'm really new to WP (example: I just accidentally posted this in the wordpress.com site and got in trouble! oops)so you may want to take this all with a grain of salt. That being said, because I'm new I think I can sympathize with any confusion others might be feeling!
I have been wondering for a while and perusing the forum for a way to make the oxygen slider link to pages, not just posts.
There were a few suggestions to change the slider to a different one completely, but being the beginner that I am at WP, I decided there must be an easier route...
and there is!!
It is a simple fix that is a bit awkward, but if you like the Oxygen slider, it should work for you.
1. Go to plugins.
2. Click "install new" and search "redirect"
3. Install and activate the "Quick Page/Post Redirect Plugin"
4. Follow the instructions (in the posts that the slider links to, redirect to your permanent pages so that when you click on the featured slider it will go straight to your page, not your post).
You'll have to do a bit of playing around with the images and it will be a little clunky because technically you have a blank post, but it should work until Oxygen (if they do--- please do!) makes it possible to link to pages, not just posts in the featured content slider.
Hope this works for you all