EDINBURGH, SCOTLAND—The people of Scotland felt a little calmer and more at ease Monday, when actor Sean Connery left the country to shoot a film in Morocco. "Don't misunderstand, we are quite proud of Mr. Connery," Scottish First Minister Jim Wallace said. "It's just that he's a rather intense fellow, and it's nice to have a little time without him." Connery is expected to be away for seven weeks, giving the nation the opportunity to hold a number of relaxed, Connery-free outdoor festivals.