you're missing the fact that it doesn't behave like any other OS out there, finding that setting isn't intuitive and if it gave me a welcome screen and asked me what behaviour I wanted, it wouldn't be an issue.
I'm not saying that the option doesn't exist, it's an OS, I'm sure it's capable of doing anything Apple want it to do, I'm saying that it's unintuitive and hard to use coming from a Windows/Linux environment.
I'm sure you know all the OSX tricks and settings. I don't. I've never used OSX before and when I looked for that setting, I couldn't find it in any of the normal places you'd expect that setting to be in the menu options.