Actually what you have described is a focus issue. Parallax is simply a phenomenon wherein objects are not coplanar. Your new scope is fixed for a specific yardage such that parallax cannot be corrected for each shot, at least not with any degree of practicality.
Focus on a scope refers to the eye piece and its adjustment to your eye of the crosshairs. You will need to follow the proceedure for that no matter the scope. This will only focus the crosshairs and will not change the focal range of the scope. If you are familiar with the subject of macro photography the second part will make more sense and why specialty lenses are used for close-ups.
Returning to your issue, grab any of your fixed parallax scopes and (clear the rifle if mounted) aim it across a small room. If the scope has magnification it will at some point become fuzzy as the target moves closer. For an easier way to test this, dial up 10X and carefully place a quarter (or a piece of paper roughly that size) on the objective lens. Your scope will simply look "past" it.
To the question of whether you chose the wrong scope, that depends on if your intention was to dial up 10X for shots at 40 yards consistently. The secondary question goes back to parallax, assuming yours is set at 100 yds. If the majority of your intended shots will be significantly closer, then you should consider resetting the parallax for your expected distance. That won't fix your focus issue but will decrease potential parallax errors in sighting. You can find information about performing this proceedure yourself and saving the $25 flight home to Leupold. I sympathize with your belief that it ought to be able to focus closer than it does, and I realize some do, but these are design and engineering decisions that dictate focal range.