How can you possible think that? Last state is not Off if HA was restarted while the boolean is On. HA’s default behaviour with UI created helpers is to restore Last state when it starts. initial_value can only be specified in yaml when you need to override that behaviour and have it override the restored state and set it to on or off.
Last state would be the current behaviour to restore the state vs Always On or Always Off.
If you don’t like Initial value: ⦿ Last state 〇 on 〇 off then perhaps this would be more clear: ☑ Initial value: ⦿ Always on 〇 Always off. The default when the UI creates the helper would be unchecked (☐ Initial value) and by checking/enabling Initial value, the initial value then is either always on or always off.