Infiltrating in new Caprica
That is correct; there is no way for a Cylon leader to start infiltrating while on New Caprica. (See the Unofficial FAQ at BGG)

If a Cylon leader needs the humans to win and wants to be able to help them out on New Caprica, s/he needs to be infiltrating when they get there. Otherwise, s/he won't be able to use the Human actions, which is the main way to help the humans.