From time to time the need comes up to individually link a
gallery item to some specific page (and add a custom text below).
It is nice that now individual caption with individual link (inline) can be added.
But when all the other gallery items link to their media image (e.g. for a lightbox),
then also the gallery items that contain the individual link still link to the media image,
hence the user has to click/touch exactly on the individual caption,
otherwise the gallery item link to the media image file is selected.
What you are looking for can be done using Gallery Custom Links plugin.
@amielucha: Updating a page with custom link by Gallery Custom Links plugin fails,
there seem to be compatibility issues with Gutenberg.
Ideally this should be integrated into Gutenberg gallery block.
This feature would also make gallery images consistent with regular images, which allow you to enter a custom URL. The addition of this would definitely make galleries far more versatile.
I have a layout right now where I'm having to use the Columns block and manually enter individual Image blocks into the columns with custom URLs to get this behavior.
The _Gallery Custom Links_ plugin, @amielucha mentioned, adds two fields on the images in the Media Library (Link URL and Link Target). What if one and the same image is used in two different galleries? And you want to have two individual links in both Galleries on the same image? With this solution, it will break, therefore, in my opinion, the custom Link/URL values should be saved in the Gallery Block itself, which is cleaner and more elegant and doesn't lead to the described problem.
I find it very useful to have a Custom URL setting in the GalleryImage component. I can't let my customers use the core Gallery Block, because it lacks this feature compared to the core Image Block.


Why are the Image and GalleryImage settings so inconsistent?
This looks like a duplicate of #10057. Also see https://github.com/WordPress/gutenberg/issues/11436 which seems to be proposing using the Image block as a nested block of the gallery, which would solve this issue.