You can absolutely change the formats (this is done in the dialog of the second screenshot). However, there it already is set up to display the zero. I had a look at my PM and there too, I get no leading 0 (just never noticed), so this is a PM thing after all.
@Kirk, it seems for the delimiter you do follow the system preferences (e.g. a dot in Germany, a slash in the Netherlands), but not for the leading zero. This was “wrong” in PM5 already, but perhaps this can be changed (with low priority) to fully follow system preferences.