>> Is this really the way you designed this exercise to work?
Yes, that's how it's supposed to work. What you forgot was an additional plus symbol. You have this:
Label1.Text = "In the CBL you selected " & item.Value & "<br />"
This overrides the Text property of the Label on each iteration. What you need instead is this:
Label1.Text += "In the CBL you selected " & item.Value & "<br />"
Notice the += instead of the =. This appends the new text to the text that was already there on the label.
Chapter 5 has more examples and an explanation of this concatenation operator.