I switched to the Twnety Fourteen theme (I’m normally using the good old “WordPress Default” and deactivated all plugins.
I edit an article (empty) and click on “Add a media” (or is it “Insert a media” in english ? I’m using the french version).
A window with my images gallery pops up. I click the first image, press the shift key, click the last image : several images are selected. I then clic on “insert into article”.
Images do appear, but only the first one and last one has a link to the original image.