Prefer to default to "no protection at all"
So you get your wireless router. "Great", you think, "now I can work wirelessly." Not so fast, young padawan, because first you need to configure it. "No problems, it's wireless." And you know the passcode to talk to it? "Ah..." Where's your PC? "Upstairs." Where's the router? "Downstairs." And you don't know the passcode, so your PC can't talk to the router? "Err..."
The sad truth is that unless your wireless router defaults to "wide open, come and get me", there ain't any way your PC upstairs can talk to the wireless router downstairs. If you've got an Ethernet port on your PC then you can bring the router upstairs, plug it in with a Cat5 and set it up that way, then bring it back downstairs. But if you haven't (and many PCs don't come with Ethernet), you're right out of luck.
Unless your PC can guess what the passcode is. And that's presumably where this comes in. Sure, it ain't bombproof, but it's shipping with enough security that out-of-the-box it's protected, instead of being wide open for a while until you get round to configuring your security.
Which, per Steve and Xander, should include a MAC address whitelist for most home users.