Media name as link to file
This is not possible with just the formatter configuration, someone would need to create a "Link to file with entity label" formatter, which would also not be that complicated.

But you can do it quite easily directly in a media template, the name would be something like media--document--embed.html.twig and the content then looks like this:

&lt;div{{ attributes }}&gt;
  &lt;a class="document-link" title="{{ name }}" href="{{ file_url(elements['#media'].field_document.entity.uri.value) }}" target="_blank" rel="noopener"&gt;{{ name }}&lt;/a&gt;
&lt;/div&gt;


I also included a target and noopener rel here, but that's of course up to you.