This is an image presentation plugin, not an image processing plugin, watermarking images would be outside it’s scope, that’s what other plugins are for.
I can take a closer look once I get some free time, but I don’t see why Watermark Reloaded wouldn’t work out of the box… I mean, a hyperlinked image is a hyperlinked image.
I don’t think there’s much for you to look at malcalevak. Like you said, "a hyperlinked image is a hyperlinked image". There’s not much you can do if the other plugin isn’t watermarking them.