It does actually kind of make sense - you yourself need to know how the currents work in the map to know how to steer your mount correctly and (hopefully) not into a cliff because you didn't realize how the currents would work. Most of the currents are in high or wide open places, but the ones that are hidden under areas are important too, presumably giving your character a taste of what currents are like in smaller, more dangerous-to-fly area.

I guess the reasoning for giving you the first chocobo to fly with is that it's already trained to read the currents, and therefore a newbie such as yourself or myself would be better off learning the currents with this chocobo...then once you've mastered that first map, you'll be skilled enough to fly with other mounts and teach your own how to fly.

That's my take on it! And while it's frustrating sometimes, I still like it and feel accomplished when I finally collect them all and fly.