Hello, I am having this same problem.
I have a gallery that I need to work as a menu (like you said, click redirects to a given page or external url). I have added a link to the images in the image manager, but if I set the item click action to none, there will be no link and if I set it to anything else, it either opens the image as lightbox or goes to the image page. How would you set the settings of the gallery and images to make this image a hot link to a page?