It is a safety feature (one that is no longer necessary for fans with electronic motor controllers, etc.)
A motor draws its highest current while trying to start turning from a dead stop. If you were to lock the fan blades and turn it on you would risk overheating the motor, possibly creating a fire hazard.
The high range provides the greatest starting torque, which is useful in getting the motor started, especially on an older motor with worn out bearings.
Once the motor is turning it is much easier to keep it turning, so it is safest to start on high and then move to medium or low.
Bishop -- I'd guess the gas thing is similar -- it takes more gas flow to get started that it takes to keep burning at the lowest setting. So ignite is more similar flow-wise to high, and therefore closer on the knob.