I have seen the "Boo To You" parade twice, from different viewing points in the park, and so I have two somewhat different perspectives on the Headless Horseman and the parade itself.
The first time was October 2007, and we watched the parade right at the transition from Adventureland to Frontierland, exactly where the parade originated. The Headless Horseman did indeed lead-off the parade, and immediately after he came out from the backstage area, the rest of the parade followed. It was a great parade, and I remember the Jack Sparrow character was a "dead" ringer for Johnny Depp. The gravediggers with their sparking shovels were great also.
The second time was in 2009, and we watched from inside the "Hub", directly facing the castle. Watching from here, the Headless Horseman again led the parade, but since he was on a horse, he literally out-ran the rest of the parade, which is very slow moving in comparison. It seemed that once the Horseman passed by, several minutes elapsed before the parade came into view. Once again, we loved the parade.
My point is: watching the parade from its point of origin (or close to it) seemed to more closely tie the Headless Horseman to the parade. Watching the parade from further down the route, the Headless Horseman appeared to be an event somewhat unrelated to the parade, and the effect was dulled a bit.