That's my experience as well. Even when I set everything to Manual before starting up the Franchise (both in the profile that I'm using and on the Franchise startup screens) and at the outset I'll always have 40 players on the 40-Man.
What I've done is add those veterans on a minor league deal or add an older D potential prospect (guys that likely won't be claimed on waivers) to fill it out to 40 before you start the Franchise and then immediately DFA them to preserve their options.