Yes, I would recommend using helical leads, as you will likely have a false cut on the lead in/out move if you don't do helical. Minor issue for single profile threadmills, more of a concern for full-form. You could also just do a zero radius lead out move so it goes from a G1 link to a G3 cutting move, but it's possible Wear/Control comp might complain to you (at the control).
The .00285 is the calculated distance required for the tool to lead in/out on the pitch of the thread for the sweep angle needed
I chatted with a developer yesterday afternoon, and while this behavior is undesired, it's likely intentional (that's not to say we can't improve it). All toolpaths (3d toolpaths for example) are understood to have retracts and lead/links that go outside the boundaries of Top/Bottom height. It's the actual cutting that is constrained within those limits, not the links.
Seth Madore
Customer Advocacy Manager - Manufacturing