Ah, you are correct, Tony.
There is an Options box that lets you get to where you can select a database.
The selection field is a combo box; clicking it to select a database tries to connect to the server, which will also fail with the same error (default database not available).
But you can just type in a database name (such as master) without using the dropdown part and that will work.
I'm not sure how widely known that is; I know I didn't know it when I ran into this issue.
Thanks for the information, Tony. I learned something today.