Apologies, I forgot to wrap the code up.
This may work (I haven’t tested it):
In the plugin, find the file recent-posts-flexslider/views/display.php and look for line 35, which has this:
$output .= '<a href="' . get_permalink() . '" title="' . get_the_title() . '">';
I would change that code to link to the category page, which should be set with the category that you selected in the widget, using the variable $categories that the plugin sets. Note that it only links to one category, despite the plural name.
$output .= '<a href="' . get_category_link($categories) . '">';
That should get you what you need!
Thanks for using the plugin,
David