You might complain (understandably) that the documentation says you don't have to stick to Graphics. If that's the case, we should try to debug what is going on with the clickpane. Let's make it show a list of the points.

DynamicModule[{pts = {{-20, -20}, {0, 0}, {20, 20}}},
{Dynamic[pts], 
  ClickPane[AnImg[Dynamic[pts]], AppendTo[pts, #] &]}]

Do ahead and click inside this. you can see that it's registering points.

But the points are at huge values like {165, 54}! The reason is that Image has a coordinate system meant for Images. The 165th by 54th pixel of that image is located at {165,54}. That point doesn't appear in the composed image.