It does not say why

It's generally the way all tabbed windows are opened, on the first tab unless you have asked to go directly to a tab.

The fact that it doesn't go to the first tab is clearly intentional. The real question is whether this is better than the default behavior.

I think we can see that the intention here is to get people to the wifi settings faster, perhaps on the logic that those are the ones they might be most inclined to change. Maybe that's true. Or maybe it's not.

The UI of this KCM is not ideal in a number of ways, and IMO it's not really worth putting a lot of time into tweaking the existing one; it just needs a redo.