Linking an image to a "Media File" with Add Media. Improvment Suggestion

Clearly to placing a link to into an already embed image you go to the images advanced settings, but what if you want to link it directly to a Media File such as a PDF? Most of us would simply get the link from the media library and past the link in, however I did watch a “normal person” (non developer/IT guy) try this and instead embedded an PDF over the image from the “Add Media” GUI. Of course this removed the selected image and placed the text name of the PDF and a link to it rather than just linking.

So I would suggest that the Advanced image link options could allow you to search and link to a file in the media library