In my opinion, the character ya open with should be someone you're noticeably bad with but enjoy playin'. It's just the warm-up round after all, winning should be the least of either player's concerns. If that's Marth for ya, so long as you ain't just bein' a tier whore, I s'pose it's fine. Ain't like there's a proper etiquette to it or nothin'.
Hell, when I would vBrawl someone who could 3-stock my Falcon, I'd still use 'em one more match for the lulz half the time. Unless they're campy, 'cause that's no fun with a character to weak t' projectiles.
And remember, it's Wiichat tradition to open a Brawl session with Captain Falcon anyways. Especially if it's your first time playin' someone. Everyone would do it, even if they don't play Captain Falcon... like me.