Yep, I agree that one should be selected by default.
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This really depends on the context and what kind of application it is: what the label is and the options provided. That being said, it is a positive experience to add what matters to the user by allowing her to select her desired option(s), rather than requiring her to remove (de-select) what is not important to the user, which is an unnecessary task from the perspective of the user. And like Lauren commented, the default selection should be based off of the user's most common response, or what is most common or popular among your users.
I didn't think I had to stress the point that the previous answer made, as I agreed with it.
Apologies, I'm just starting to use this app, so still learning the community norms, rules and etiquettes.