As far as I'm concerned, that's just the way it is. If you clean out the entire bale chamber at the end of the season, you're going to have a loose bale or two until you pack some hay into the bale chamber for the plunger to compress hay against.
I do not clear out my bale chamber during the season unless I have a problem or accidentally get into some hay that's damp, so this is a two-minute / once-a-year exercise for me. Just carry this loose hay around and feed it back into the baler as it comes out of the chute. The first bale to hit the wagon in the spring is usually the third one that actually exited the baler.
You can always leave hay in the bale chamber if you know it's completely dry and you store your baler in-the-dry. Another option is to just bale a couple of dry bales in the barn to get things started before you head out -- I'd rather do it in the field instead of carrying a couple of bales back out with me.
