Not true from my experience. I just setup a league for whatever day and time I wanted (after the 15th or 16th)...
Maybe everything has been filled in the meantime, but it worked for me within the last 24 hours.
That's weird. I couldn't do it last night, but I was able to it this morning.
If you're in this thing, go and sign up. .....http://sports.yahoo.com/fantasy
Here's the league info.
The ID# is 36107 and the Password is Wilheim.