You want the links on a userlist to to link to edit profile instead of profile view? You can't as the link is static and generated for profile view. The steps you're taking from backend are the appropriate steps. You can also navigate to a users profile on frontend and edit their profile from there, but it's basically the same steps except you're using a userlist instead of user management. List Management has nothing to do with viewing userlists from backend; it simply allows you to create userlists for frontend use.

You need to configure CB to allow modifying of users profiles. Please navigate to CB configuration followed by Moderation tab and ensure "Allow Moderators to Edit User Profiles" is set appropriately. Once done navigate to a users profile (other then your own) and click "Update user profile" on the CB Menu.