The inserted link is a direct download link to the file in the filedepot managed file repository. The link will still process all the filedepot specific folder permission checks so if a user who has access to the file inserts the link into a public piece of content, only permitted users will still be able to retrieve the file.
Once you have installed the linkit and filedepot_linkit module, create a linkit profile and enable the Filedepot plugin selection. There are settings to enable the rendering of a thumbnail for image results.