It seems that in the new Page Builder doesn't support adding links to images anymore.
In the old editor, you could paint a picture inside the WYSIWYG editor, click the Link icon, and add a URL to the image. This way, the Image object comes to the frontend with "linkTo" attribute with it.
In the new Page Builder, you can add a link to a text inside WYSIWYG by painting the text and clicking Link button from the pop up: