So I'm about to finish the last mission and figured now would be a great time to figure out if there would have been a better way to load my games up to this point. ;) When I start the game, I first get a hi res splash screen, then the Interplay logo comes up and the music begins. Once I skip past this the game immediately starts the first episode "Demon World". I then have to skip past the intro dialog of that mission so I can open the options menu and load my game.

I have never seen a main menu, nor have I found a keyboard shortcut to jump right into loading a game before Demon World starts. Like I said, I'm just about done with game, which I've enjoyed immensely, but I'm really curious if I've been starting my games ass backwards up to this point. Thoughts?

No, that's just how it is.

Thanks for asking and thanks for the answer! Was wondering this as well.