Wordpress Image Uploading "Save all changes" isn't working

A while back ago, I did a post about my favourite free minimalist Wordpress themes on my self-hosted Wordpress site. Initially, I thought it would be nice to embed the theme source links on each gallery thumbnail, so visitors can link and visit the source directly.

After uploading the screen shots and inputting all the theme links, I noticed that the "Save all changes" isn't working. Whenever I clicked one of the "Show" buttons, the Link URL always shows the path of the thumbnail image. So I thought if it isn't saving, could I get into the database and edit the links there? It doesn't seem to work that way, each image is stored as a post with post_type as attachment and post_mime_type as image/jpeg.

I guess this "Save all changes" is a bit misleading. It might not be a bug, it just has no intentions for the users to save all?! If you change the link URL and insert each image into the post, it works, your image will show whatever link URL you input. Only if you try to save the link URLs and "Save all changes", then it won't work. If Wordpress could fix this, that would be great.