Isn't "Endomembrane system" kind of a lame answer for a location? Would cleavage likely happen in the ER after translation or at the golgi with glycosylation? I guess it could happen at any of these places.
I just did this question yesterday and thought the same thing. It's like a question I saw earlier where someone posted a practice problem with an answer of "electrically gated channels" when virtually every scientist says "voltage-gated." The endoplasmic reticulum folds and cleaves proteins, in this case insulin, and ensures proper stereoconfiguration (is that the right word?) aka quaternary structure (C-C disulfide bonds). If I should've said tertiary structure, let me know. The golgi packages the protein, with a few more modifications like you've mentioned. But cleavage primarily takes place in the ER.
Or if you're the AAMC, the majestic "endomembrane system"....
Glad to know someone else feels the same way! It's questions like this that even if I get right I can't be sure I'd pick the "correct" answer in another instance because the question and choices are just so unclear.