The saddle has seen regular use on my commuter for more than a year, and only recently has dye transfer become an issue. I've read elsewhere that it may be that I'm over Proofiding the saddle, but recently I had the issue both before and after applying oil (I've treated the saddle three times since new). I'll leave off from adding any more Proofide for the foreseeable future, and in the meantime wear a cover during longer rides (which, I agree, is an imperfect fix, as doing so defeats some of my purpose in using a leather saddle).
As to cycling Yellowstone, I'm unfortunately not much help. I'm a bit east of the park and reluctantly admit that I've never cycled it (I've really only progressively gotten more into cycling in the last three years or so). Hopefully, I'll be able to do Glacier in the near future, though, as that will be closer to my backyard after this week.
I do know that there is generally a week in the very beginning of the season where most of the park is open just to cyclists. Otherwise, you are looking to face some rather heavy traffic, and people's behavior in this park especially seems to be without concern for safety (Google "bison selfie" for quick confirmation). Many people do cycle the park during the season's heyday, and they live to tell the tale.