This is probably a silly question, but I didn't immediately see the answer...

Is there a way to set up Sforzando so that it automatically supplies reasonable instruments for any song I load? It looks like I have to assign an instrument separately to each track; and then when I load a different song with a different collection of instruments, I have to do it all over again. Am I missing something obvious?

sForzando is pretty much a single instrument solution.

So, getting it to load multiple instruments for each track is a manual process.
(as you discovered)

It's faster to use something like Coyote VST for basic sounds, and then replace with sForzando sounds as needed. At least in my experience.

Yes Sfrozondo is not a MULTITIMBRAL Sfz player, one sound at a time

But one of the few free 32-bit sfz/sf2 players left is one called Vstsynthfont - it is multitimbral and can play up to 16 channels at once

http://www.synthfont.com/Downloads.html

Larry