Many of those listings do provide a link, but it's usually nofollowed or redirected somehow, so that it doesn't pass any juice.

They're still valuable listings to have for their citation value alone.  Local Search is critical for any business with a physical location.

I'd recommend using a Local Search product like Localeze, Axiom, ExpressUpdate, or UBL.  It's a lot less time consuming than going out there and manually updating all of your Local listings yourself.

I suggest installing a mod for your browser that will easily identify nofollowed links for you.  These extensions don't necessarily catch redirected links, so you'll need to hover your mouse to see exactly where that link is pointing.  If it doesn't simply say the website it's pointed at, it's probably redirected somehow.

Tools here