volveré y seré millones
This should be done, in my opinion; the dependence on the extra file can cause confusion. Not so much for regular users, like you say, since they generally just use an older CFG, but for people trying out the engine. And the defaults should have pretty clean settings (unlike Boom's; it stuffs most of the new features in your face... and so does PrBoom to a degree, using those ugly status bar number colors by default, for example.)
Or else adjust the engine defaults.
And even then, important "default cfg" changes should be noted in the "new/update" document so that people with existing CFGs may be aware of any changes or optimizations.