I was thinking the same thing. In fact, you're better off doing the opposite, and using a "start in 2nd" button if you've got one.
On an un-modified post '95 truck people will do that because it is the only way to get the center diff lock to lock and prevent wheel spin.
Having a CDL is particularly handy on the pre-95 tucks without a VC in the transfer. In those the CDL switch comes standard though, doesn't it?
