One thing that comes to mind is that if you accidentally turned RF on in your bag, it might take control of your phone leaving you unable to do anything until you got it sorted. Also you might want to connect by USB and turn it on to allow the RF to initialize while you insert the cable. I know it only takes a second, but having it auto-connect by BT would be kind of a pain (for those of us with Touch Pros, where the connect/disconnect process actually takes quite a bit of time) if you really wanted to use USB.
There may also be technical reasons for having a power-on state that doesn't require a connection to a phone. For example, firmware upgrades, or video-in with the C8N. Also think of being in airport security and being asked to turn on the Redfly so the TSA can be sure it's a working device. The splash screen is probably enough to allay security concerns (let's not get too nit-picky about that, I know where that discussion could go), but takes only a few seconds to turn on and off. If you had to wait for the phone connection you'd be standing there for awhile, and then you'd have to wait for the disconnect process too. Again maybe this is more of a pain for Touch Pro users only.
I think I'd actually be pretty annoyed if RF tried to connect to my phone automatically through BT every time I turned it on unless I remembered to plug in the cable first. But everyone likes different things.
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