CMSBuilder actually creates two parallel arrays for list fields:
$record['business_directory_num:values'] for the "num" values.
$record['business_directory_num:labels'] for the "business_name" values.

To get both, you can iterate over each of the ":values" instead, and then use their $index to grab the corresponding label and display it too:

<?php foreach ($record['business_directory_num:values'] as $index => $value): ?>
	<?php $label = $record['business_directory_num:labels'][$index]; ?>
	<li><a href="/business/directory/index.php#biz-<?php echo $value; ?>"><?php echo $label; ?></a></li>
<?php endforeach; ?>

So that'll loop through each of the "num" values, then grab the associated "business_name" from the labels array using the $index, and display them both together.