The setup screen is nonsense: a new user doesn't know about the extension just yet, thus asking the user to make a choice about something he has no idea of yet is nonsensical.

New setup is to install and get out of the way asap. Then let the user familiarize himself as he/she wishes.

This is how uMatrix will be (even more simple since no pattern-based filtering), so might as well not lose new users until uMatrix comes out.

I don't want to lose new users because everybody deserve to see what they are subjected to when they visit a site: it's called informed consent and HTTPS Switchboard excel at informing users of what web pages do.

For an advanced user, turning HTTPSB into a block-all/allow-ex is a matter of a couple of clicks after install, persist, done, so I don't see this as a problem.