Why is it not "On" by default?
Why do you think a network management tool should be turned on by default? Most people do not need to isolate parts of their network from certain devices or users.
Assuming you are connected to a network behind a NAT router, your Mac is already isolated from the Internet. The firewall would not provide any added isolation.
If you have need to enable multiple sharing services and occasionally connect to a public network (coffee shop, library, etc.), then enabling a firewall might be simpler than turning off all the sharing services. However, if you don't have any sharing services enabled, then there is no place for someone on that public network to "enter" your Mac. Turning on the Firewall would not provide any utility.