If you have used the Gallery feature http://en.support.wordpress.com/images/gallery/ there is no "none" available in the "link to" option. That option is only available for individual images, as tt pointed out above.
The Photo Carousel is the default for the Gallery feature, unless you've turned that off in your Dashboard's Media Settings Then either the attachment page or media file (in which I find the navigation inconvenient) is the next option.
Since you are using the Tiles style of Gallery, why not try a caption on one photo and see how you like it. They sort of hover over the image.
It doesn't happen in my demo post because I'm using the default thumbnail grid. Regardless, you can see the captions in action on the Gallery support doc. http://en.support.wordpress.com/images/gallery/#manage-gallery-styles-individually
Having said all that, you (and we) seem to be overlooking the major feature of the Autofocus theme, which is to create a frontpage mosaic of featured images from your blog posts (no Gallery involved). Check it out on the theme's Showcase page. http://theme.wordpress.com/themes/autofocus/