I managed to get some images working.
I see 2 issues.
Some of your images are VERY large. Much too large. You should reduce them in size. You can do that in the Media tab of the Admin Dashboard and you can resize and crop images.
If you enter # sign in the link field you can then save the Widget.
This may be a bug which I will be looking into today.
But you can use that as a work-around until we figure out the issue.