I think the main point here is the ease of "recovery" from a mistake. If the default is set to "save all" then a person who didn't want that setting can easily rectify the situation by deleting an unwanted saved message, and switching the save setting. If the default is "don't save" then recovery is impossible because, brother, that message is gone for good.
If my experience with PM's is anywhere near average, storage space shouldn't be an issue for a few lines of text, and if it's not, then people probably want to save these big messages they've invested time and effort into. Seriously, if the staff were truly worried about storage space, the word games section would be the first thing to go. And if storing this information "breaks" the forum, then I'd say you'd better move to new forum software right quick.
(EDIT) I forgot to mention that while the setting is easy enough to change, it is not necessarily obvious that it needs to be changed. Better to make it an easily-correctable mistake like I said in my first paragraph.
That's just my assessment of the facts, not trying to be confrontational. Ask for an opinion and you get ten
I think it's pretty clear that the greater advantage for the community would be to change the default setting.