You're right. It's a pain in the neck, but what I like about is it's done in camera so I get great JPEGs. Olympus also doesn't help but neglecting to curate those great PEN-F images I see on their site to tell me which ones are custom and which ones are not.Hmmm - I can't believe how hard Olympus have made that feature to use! You need to install OV3, which has to be the most awful piece of PP software out there. Then you have to connect the camera to a PC with a cable and then download a JPEG image that has the settings you want to use. Then you have to open the image with the Oly software and transfer it to the camera. That's such a faff. On top of all that the sample setting/images are not well curated or categorised. They are also almost impossible to find on the Oly site. Talk about half-baked!
IMHO Oly should spend a bit of effort in making a nicely laid-out site with example images and small, downloadable settings files that can be written to an SD card which the camera will import. Either that, or via the WiFi in the camera get it to connect directly with the Oly site.
Although, TBH - there are so many LR profiles out there that will do what all these Oly things do and then a lot more besides.