Yeah, but image link does not have to link to full size image – it might be large or any custom size large enough to make it fill the screen (if that’s what you need).
It’s just the way your theme works – this could have been changed at the web development process.
Unfortunatelly, you can do anything with the watermark now. The only reason we enable that feature is that we know of some specific use cases when you really have to apply it to full size images as well. But it definitely should be avoided.