Thanks ee-jallen, that helped and works as I'd expect.
I see my misunderstanding. If the "Sequences" droplist is set to MainSequence and I select my subsequence in the view, it's steps are automatically selected, and I can execute it using Single Pass, the Setup and Cleanup run as expected. I had selected one of my subsequences in the "Sequences" droplist and was expecting the same behavior, that I could execute it in Single Pass and have the Setup and Cleanup run, but I can see why that wouldn't be the case.