It says in the readme for Skyrim Script Extender to launch it from the Script Extender shortcut. Do you really have to do this every time you launch the game? I prefer launching the game from Steam especially now with the workshop, also if I remember correctly with Oblivion's script extender you didn't have to do that.

Yes. Just add it as a shortcut in Steam. The reason for Oblivion was that they got help in working with the wrapper. They're looking into doing it again, though.