Sorry, what you’re looking for is not an standard WordPress feature. It might interfere with the theme, which could be built to already include a link to the featured image. That would lead to invalid html.
So you’ll have to build this yourself using the admin_post_thumbnail_html
hook, which allows you to add fields to the featured image metabox in the edit screen. Here’s how you would do that:
// Add form
function wpse261260_add_checkbox_thumbnail ($content) {
global $post;
$text = __( 'Link to full image', 'your-textdomain' );
$id = 'link_to_featured_image';
$value = esc_attr (get_post_meta ($post->ID, $id, true) );
$label="<label for="" . $id . '"><input name="' . $id . '" type="checkbox" id="' . $id . '" value="' . $value . ' "'. checked( $value, 1, false) .'> ' . $text .'</label>';
return $content .= $label;
}
add_filter ('admin_post_thumbnail_html', 'wpse261260_add_checkbox_thumbnail');
// Save form
function wpse261260_save_checkbox_thumbnail ($post_id, $post, $update) {
$value = 0;
if (isset ($_REQUEST['link_to_featured_image'])) {
$value = 1;
}
update_post_meta ($post_id, 'link_to_featured_image', $value);
}
add_action ('save_post', 'wpse261260_save_checkbox_thumbnail', 10, 3);
Now you can access the boolean in your theme using
get_post_meta ($post->ID, 'link_to_featured_image', true)
and use it to decide whether to link to the original file or not. If you also want a text field to give a url, you’ll obviously have to expand the form in the code example above.