Is there a setting to have a new layer created automatically when starting a new file

You could write  a Photoshop script to see if the document you opened only has a background layer and if that is the case add an layer above the background layer otherwise target the layer above the background layer. Then use the script Event Manager to add this script as a open document event handler. Then any time you open an existing file a layer will be added above the background if need be. The layer above the background layer will be the current Photoshop target after you open any file. If the document can have layers.  The script could be written to tell you the document  does not support layers or just ignore the fact that it could not add a layer.

Record an action to create a new layer. 

Use File/Script/Scripts Events Manager to automatically play this action when triggered by specific events, such as: New Document, Open Document etc.

You can use the toggle dialog on/off in the action to allow the use of the cancel button just in case you don't need this for a given file. You could also build in other steps into the action as well.