Interesting about the "cognitive load" re the shift-return execution requirement. No question it's contrarian to everything else the kids know.
I'm reminded of teaching programming using Fortran in a previous life. I wanted to ignore format statements as lacking in any redeeming value; but, of course, this is what the students wanted to know about and rightly so to get their homework done.
I've never resolved how I would teach Fortran differently now. But, per above, I think your initial focus on Notebooks when teaching Mathematica is the right thing, absolutely.
Not for nothing is the first thing in the C programming book the "Hello World" program.
-_Mark