Just realized I forgot you mention you have to click on that “Show” button and the option to change the link is on the “Default Options” first tab
I just started using the theme and had the same thoughts. If edit your homepage, you can see the media you’ve attached at the bottom of the screen (featured media). There is an option to apply link to the image. Just select “No Link” and that will make the magnifying glass go away.
I wish you could do the same for the left & right arrows too, but haven’t figured that one out yet.
Hope that helps!