You are correct that dependencies just specify a build dependency, it does not cause the library to be linked. You have to keep in mind that this is a generic, customizable project system, not a project system for an IDE built for a single compiler (as most are).
Your best bet it to just check the box for the lib. That will specify that the current configuration of the main project (for example, Debug) depends on the same configuration in the library (Debug). If you check both, it means that the Debug configuration for your executable depends on both the Debug and Release configurations of your library, which is not normally what you would want. The Dependency configuration GUI gives you the flexibility for a build to cross over from one configuration to another, but that is usually only needed in special circumstances, for example if you have a special configuration for a library that builds it with different flags in order to enable or disable features.
The preferred method is to put the library in the libraries/object line under the compile/link tab.
You can use a %bn in the path to the library to specify the name of the current configuration, for example, mylib/%bn/mylib.a