OMG. This issue has plagued me for years and I just assumed it was one of Apple's unnerving quirks of programming. But today, the light shines brightly on my productive habits because I finally found out that you can in fact make the default time of a new event in Calendar to be ALL DAY without having to change it after creating an event.
To do this, all you have to do is left-click and drag a small box in the date box in month view. That's it! And if you're creating a multi-day event, just left-click and drag through all the days that the event is scheduled for and the default time will be set to ALL DAY.