Are you doing this on the dimmer itself (not the Pico remote)? You are right, it doesn't say to start with the light on or off, but I think you can control it up or down once you are in that special mode.
The advanced install intstructions (not included with the dimmer) give better details about how to set these for upper and lower trim.
Edit: Page 74 of that document also tells how to change it from a dimmer to a on/off switch, which should give a more instant reaction at the expense of dimming.
