Today, clicking on a KPI gives you a larger version of the KPI and information about when it was last modified. Instead, there should be an option to link directly to a detailed report that explains the KPI or provides more detail to users - this way, a KPI becomes actionable and a concerning value can lead immediately to the information necessary to correct it.
For example, we have a KPI that shows the total footprint of all SQL Server databases ("Data under management") over the past 4 days. Clicking on the KPI should provide a detail report that allows me to see the largest databases (this report already exists, and it's not the data behind the KPI, but it's what I'd naturally want to know after seeing the KPI).
As another example, we have a "RPO Compliance %" KPI that shows the percentage of our databases that comply with their RPO targets - it's usually 100%, but if it's anything else, I want to know which databases are out of compliance, and clicking on the KPI should link to a report that shows me.