Sorry about that, I guess I misunderstood your question. I'm not sure what you've been using to create the links. Do you have any plugins installed that might be adding that functionality?
If you're just looking to add links to all your pages in the sidebar of your site you could just use a Widget. There are a couple ways to do it with widgets.
1. The Pages widget will display all the pages on your site (excluding any pages you specify). This would be the fastest option if you wanted to display every page on your site.
2. The Custom Menu widget will allow you to use a custom menu (Created under Appearance > Menus) the same way you created a menu for the navigation bar below the header of your pages. This option requires a little more work to setup but gives you finer control over which pages are displayed and the order of pages.
3. Finally you could use the Links widget along with the Link Manager - this would be most beneficial if you want to link to pages on other sites.
Hopefully this helps.