This is a bug that still exists in the new editor. It is yet to be fixed. In the updated editor, when a caption is added to an image using the 'Add Caption' feature, the image will not be clickable, or linked. The bug is so obvious with the way it is coded. Few lines are misplaced. There's a quick fix to this, rearrange three lines from the image's HTML.
Check out the following two images. Both of them have captions added. The first one is the default setting, without the fix, so the image is not clickable. The second one has the fix applied, so it is clickable.
|Caption added, not fixed, cant click.|
|Caption added, fixed, clickable.|