Thank you for answering this - I see what you mean.

This is really helpful.

(Do you know where I can read about debugging dynamics? I can't see what I need in Tuning & Debugging. I am familiar with the debugger for normal programmes so my watchpoint on pts does not get triggered (for instance))

I have given feedback on http://reference.wolfram.com/language/ref/ClickPane.html and suggested that the description/specification for ClickPane or the implementation may have an error.

I have included a new example notebook illustrating your observations and adding the clarifications.

Attachments:

There's a difference between an Image and a Graphics in Mathematica. Images are rasterized things like bitmaps. Graphics are actual descriptions of images which are easy to manipulate (they're kinda like SVG images).

When using ClickPane, you should use Graphics, not Images. ImageCompose produces an Image. Use Show to combine graphics. ImageCompose takes Graphics and turns them into Images. You would want your code to look something like this:

AnImg[p_] := 
 Show[(*two images combined into one output image*)
  Graphics[{Blue, Opacity[0.5], Rectangle[{-20, -20}, {20, 20}]}], 
  Graphics[{PointSize[0.05], Red, Opacity[0.5], Point[p]}]]

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