You can change that setting via the actually lemmy instance page. For me I logged into lemmy.world and the settings there set All and New. That setting carried over into whatever app I used.
This would be really annoying if this was forced on me every time the app starts. Defaulting to a sort that I don't use would actually make the app unusable, as I would need to change the sort every time I opened the app. Just do it like every other app and make it a setting. Not everyone has the same preferences as you.