Yeah you have to be in a league before starting the quest.
After our first Grade 1 Free I was 100 behind someone else, so they clearly had a headstart. Tried joining a couple Woods games quick but the first few groups either had no idea how to be efficient or weren't trying to play the league anyway. So I returned to Grade 1 Frees and unless there was a last-minute surge finished about 350 behind 1st so they kept pace in their Grade 1 games and I had no way to catch up to them anyway.
I'll say it again, supernatural leagues aren't competition. They're basically a "who joined the league first" contest which is stupid and against the spirit of the setup. I'm glad we're done with them now.