I checked and it really can't be set to leave the leader out. This is a REALLY low-end camera---by modern standards, anyway. (It's the EOS 500/Kiss without the built-in flash.) It's OK; I can do the bottle-opener thing.
I'm mostly just amused at how thrown I am by what are theoretically conveniences. It's just a whole different world out there, and I wonder how those of you who shoot these things figure out what to do with your hands in between shots!