according to the docs you can change the link of every slide individually:
Here you can overwrite the default setting of your slideshow options page. What should happen if a user clicks a featured image when located on an overview page? Should it open in a lightbox or should it open the single entry?
Advanced feature: Changing individual image links
as an advanced feature you can overwrite the link for each individual featured image with the help of custom fields:
just create a new custom field with the name "featured_link_" followed by the number of the image. The value should contain the link.
An example to create a custom link for the 4th image would be:
If you add image or video content for these overwrites it will be opened with the lightbox. That way you can also link to videos that are not included in the wordpress embed service ;)