In Scald, is there a way to link a scald atom shown using an image style to the original image?
This option is not for the automatical link purpose.

What you want is always to link to the original image. This is configurable in the Manage Field display tab.

In your 2nd setup, enable "Link to content" will link to the content (the host entity, not the atom itself). If you want the image is linked to the atom, then there are two options:


Write a custom player and use it (the current player has no "link" option) 
Configure qt the Manage display of the atom (admin/structure/scald/image/display), hide the atom itself and show the image field, with the link option.