You don't start out with all grain, because MANY more times than not, you're going to make dumb mistakes. Even if you do all the reading, there is a big jump up to actually doing it. Most mistakes that can be made with an extract batch are minimal and what you end up with will more than likely be drinkable. You can screw up an AG batch pretty easily and wind up with something that barely resembles beer. Just like anything else, it's best to start basic and take off the training wheels when you have the proper experience under your belt.
About the only exception to the rule that I can think of is if you're being mentored by someone who brews AG. If you can see it, and better yet, help with the process a couple of times, you'd probably be able to start off with AG right away.