I have contacted DCM engineers. They replied that the Display creative does work differently than HTML5 Banner in the context of ad creative click throughs. Unlike HTML5 banner, the Display creative requires that an exit URL is defined, as a blank URL will not mean it will inherit and use the Ad level click through. The Display creative has always worked this way, and HTML5 Banner has been deprecated recently.
So to make sure the Ad work for Display creatives, we will require an Exit URL defined (as in the Exit Ad action in GWD). If we want the Ad-level click-through URL, we will need to manually change it on the Ad creative assignment in DCM UI.