That's the way it works for me in Leopard, and I find it mildly annoying as well. It's possible that this behavior was changed by one of the 10.5.x updates, because my sense is that it hasn't been that way the whole 2+ years I've been running Leopard.
(I'm assuming you're referring to behavior exhibited by Software Update when it launches automatically; in 10.5, anyway, if I launch SU manually, it goes directly to the list of available updates.)
