Internet Explorer 8 used to do this on first run - that is, prompting you to confirm your default search provider and whatnot. [1]
It sucked, because most people would open IE, expect the browser, instead get this dialog instead of the browser, and just click the "ask me later" button each time, thereby loading the browser with defaults. And then of course, it comes up again the next time you start the browser.
Back in my technician days, I dealt with a lot of tickets about this. Even a cursory glance at the window explains what it is and what it does, and it only takes like three clicks to finish the process and then never deal with it again. Most people didn't care, they just wanted the damn window out of their way so they could open the browser and do their job, so they select the option that leads to the lest friction - go away and ask me later.
The point being, what you suggest is not an improvement of the user experience. The number of people so invested in the default search engine that they make value judgments about what comes set by default is much lower than the people who would be annoyed by a prompt to set it.
Average users don't freaking read their screens. If they did, frontline tech support people would be nearly out of a job.
[1]:http://www.sevenforums.com/attachments/tutorials/100217d1285...