I completely understand and completely agree with you. I also think if they have the band, and the watch why can't they put the two together.
Others have suggested that these are assembled at the factory and packaged that way. They can't just go in and open a sport band model, remove the watch and put it on the band you want.
I'm hoping after Apple sees what people want, and keep after the return period, they will adjust production accordingly.
I'm not sure it has anything to do with factors within Apple's control. My guess is something went wrong with the manufacturing of the leather loops. Maybe the leather was prone to splitting? Or maybe it was too rough around the edges? (Based on some of the leather loops I saw during my try on). One way or another, Apple wasn't satisfied with the quality of the leather loops and forced the manufacturer to change their production process accordingly.