Well that would be inefficient. For each command you run the kernel has to read the file, detect that it has a shebang, parse the shebang line, and then finally load the actual executable in memory. That could be a performance problem, since busybox is used typically in embedded systems that doesn't have a lot of resources: imagine a shell script that runs a command in a loop, it has to do a lot of extra work.
Finally, symlinks can be relative, while the solution you proposed is not. This is particularly useful for distributing software, e.g. distributing a tar file with the busybox itself and their symlinks.
In fact, you don't even need symlinks at all: you can even have hard links, that could even save disk space on embedded filesystems, that are readonly images anyway.
