Hi lee-sargent - thanks for your questions. The comics custom post type doesn't actually use featured images; they use regular images inserted into the post in the same way other images are - by clicking the Add Media button above the editing toolbar.
If you need any help adding an image and linking it to the next comic page, let me know. (Just a heads-up that there are a few error messages appearing at the moment when you publish a new comic and we're working on getting those fixed up.)
I will find out if the drag-and-drop images option is something that works in the self-hosted version of Panel, or if that's a WordPress.com-only feature, and will keep you posted here.
I too would love it if it just went to the next comic when clicked as this has been brought up a couple of times by readers.
I hear what you're saying and I understand why this might be useful for some people. One advantage of leaving it up to each site owner to decide what the image does when you click it, is that it leaves the theme a little more flexible. For example, some folks might want the clicked image to open to a larger version so that viewers can see in a more close-up view.