The #REDIRECT redirects one page to another page. It cannot redirect to a media item.
The page you see when you redirect to a media item is just another Wiki page (albeit an auto-generated one).
You would think that if you could somehow insert a #REDIRECT into that page that it would do what you want, but no...
A double redirect is a page redirecting to a page which is itself a redirect, and it will not work. Instead, people will be presented with a view of the next redirect page. This is a deliberate restriction, partly to prevent infinite loops, and partly to keep things simple.
However, you could look out for double redirects and eliminate them by changing them to be 1-step redirects instead. You are most likely to need to do this after a significant page move. Use the "what links here" toolbox link to find double redirects to a particular page, or use Special:DoubleRedirects to find them throughout the whole wiki.
So I am sorry, but unless you fancy re-writing how parts of MediaWiki work, you are stuck with having it redirect to the media page.