Why do we need another new dialogue box? Prehaps the user first wants to position the instepctor window somewhere, resize the editor window, ...? How is your suggestion faster than the current way? If I want to load a level, I click Crtl+O (and so don't have to search for a button to click) or open the level property window (which I will need anyway) and choose my style there.
In my opinion creating an empty level at the beginning is good design, because it lets you directly drop some pieces into a level and offers high flexibility over what you may do next.