to reproduce :

1 - create a view --> test (no other choice)
Format : show --> choose fields
Fields :--> add "content:image" & "link image to" "content"

the auto preview shows images with link

2 - now
Format Format: --> choose Views Nivo Slider
Format Show: --> choose Views Nivo Slider

the auto preview shows images in Nivo Slider but without link

Files: 
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#1 Screen Shot 2012-10-31 at 17.40.32.PNG91.54 KBmrded

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new91.54 KB

Did you try select this fields into style settings?
Check screenshot.

Status:Active» Postponed (maintainer needs more info)

I don't know if im doing it right, but i believe that the link on the image disappear when you put it in the Nivo slider, the Nivo Slider ask for a field link in the configs, and in the views, whe receive information suficient to create a link field to the content of the corrent node, i did the following way, i puted a nid field in the views, but i exclude it from display, so i create a custom text field with the following the "node/[nid]" and inserted the custom text field as the link field of the slider, this solved for me.
Sorry my bad english =)