I’m using the Portfolio template to mimic the three image layout (thumbnail grid) demonstrated in the example theme. I can link a single image, but when I select 3 images at once I do not see the ability to add unique URLs to each of the three images. This was a main reason why I purchased this theme.
Are you trying to replicate the layout found in the demo here: https://connectdemo.wordpress.com/portfolio-gallery/ ? If so, you’ll need to use the portfolio template and then you can create specific posts for each image using the Portfolio Custom Post Types. The featured image to these posts will then link back to them.