KOF's set-up is part of its identity. The ability to choose the order, but be commited to the match-ups, is key to the meta.
I wouldn't say it's that set in stone, considering that there have been mainline KOF games with tag team features in the past (KOF 2003 and XI). Still, the "traditional" way seems to be the most well-liked by fans.
Even then, loading between rounds is a separate issue anyway. There are probably technical reasons why they couldn't, but if they could get the next character in without tossing up a load screen then that would just be that much nicer.
Anyway, my personal experience with this demo: it's great, it's KOF, it's... still kinda ugly but that's okay I came to terms with that months ago. KOF movement is unique and I could understand how it could feel stiff, especially if you're picking a slower character like King of Dinosaurs and haven't mastered the four types of jumps yet. But once you work running, backdashing, hopping, and super-jumping into your game, it really opens up as probably the most flexible 2D fighter that's not based around aerial movement and air dashes (shut up, Shun'ei).
I've also noticed that, while the most optimal combos will tend to involve MAX mode activation into some EX moves and super, you can still get some hefty 2-bar damage with shorter, easier combos into level 2 supers with most characters. I hope people will focus on using the combos they can perform rather than lamenting the ones they can't.
On a final note, SNK is still the best at making satisfying super moves. There's nothing that feels better than landing Nelson's MAX Deadly Punch or Dino's MAX Super Zetsumetsu Hurricane.