Why is this not an automatic thing or have an easy edit in configuration yet. Seems logical.
That's not how Joomla works. Joomla needs to know what component you're trying to navigate to. The menu alias cb-profile lets Joomla find the associated menu item and thus the component you're trying to navigate to. You can however rename that menu items alias to whatever you like. As for the user id prefixing that's due to their username not being URL safe so you can't have just /kleskun unless you restrict what characters people can put in their usernames. You can also use the Profile URL (alias) field to override using username entirely.
Effectively what you're wanting to do will cause usernames to conflict with Joomla menu item navigation. You'll need to implement your own custom URL rewriting behavior to do this. Some Joomla SEO extensions might have support for that though.