As a brand new Mac owner and OS X user, this was one of the first issues I noticed after setup. Initially I assumed I was just not proficient with the OS and settings yet, until I searched online for a solution and discovered discussions such as this one. I am astonished to learn that such a basic function is missing.
Even dominic23's solution is just a 'band-aid' fix, as it only opens the last full screen window that was open, while I want a fresh new instance of Safari to open in full screen mode. So far I did the same thing as Stashu26 suggested, which functions closest to the desired effect, as there does not seem to be a proper solution via a simple settings option.
Please do not get me wrong, I do like everything else about OS X and Safari so far. I am mainly just curious if it is an intentional design choice, and if so, what the reasoning behind it is.