@HHDesign: That is just a demo that why there is no link. In Catch Everest free theme there is only Featured Post Slider which is created to highlight your posts in Slider. So, it will link to the post.
But if you just want a image slider without any link then upgrade to Catch Everest Pro http://catchthemes.com/themes/catch-everest-pro there you have option to choose Featured Image Slider instead of Featured Post Slider.