This is intentional - I am testing using just the directional arrows, as I suspect that people don't jump several pages deep into a sentence list, but scan one set after another.
If you don't want to have page numbers, perhaps you could put the number of sentences in parentheses after the "Sentences" text in the answer box, the way the dictionary has? It would be nice to have a way to quickly tell how many sentences there are for a word without opening the dictionary, since it's a good indicator of how common a word is, and I used to check how many pages of sentences a word had after getting it wrong.
That could easily be done. I'm still thinking on it, but I simply thought it was getting clunky with the number of links. Give me a bit more time, I'm sure I will settle on something that everyone is happy with!