Andrew,
That's the way LR works.
All camera settings besides White Balance which only affect in camera JPEG rendering (like Picture Styles, ALO, Grayscale etc.) are not taken into account when importing RAW images into LR. You don't even see these settings by looking at the metadata from within LR (they're stored in the makernotes of the EXIF data).
So your conclusion (I can leave the camera set to one setting) is correct, since the corrections you see on the back of your camera won't be exactly what you'll see in LR by chosing the appropriate camera profile anyway.
Beat