> IMO systems should be shipped in "Setup Mode" by default with no keys preinstalled. On first boot which ever OS you decide to install should be able to enroll its keys.

Let's be clear here. Most computers ship with Windows pre-installed, thanks to Microsoft's exclusivity deals with OEMs and the general assumption of Windows as the default OS.

Most users, even those who want to use Linux exclusively, will never be able to utilize the first-OS-install functionality you propose, because the OEM will already have installed Windows on their behalf.