Right now the link picker allows to link to: Sitetree link, URL, Email or Link to anchor in text.
But a link directly to an asset like "please find more information here", where "here" is a direct link to a pdf file, is very common, but actually not possible.
An option like "Link to asset" would be very helpful.
Of course there are cases, where the permissions of an asset are prohibiting the access, or the file doesn't exist any more. But these (edge) cases should still link to the file and probably give out a message or just a 404 page.