Agreed. The funny thing is some games go the other way around but still kind of get it wrong: Games where the options are a part of a launcher, so you don't actually get to experience your changes as you make them. I guess that's still better than just throwing you into a loud cutscene on startup though.
But seriously. When the game loads, I want the sound to be set to as low as possible, then just give me a slider that plays a sample sound that I can increase until it's right.