"Or perhaps it's not a problem - if you set the pins low as the first thing your code does, perhaps that's good enough? "

Whether it is a problem or not can vary from case to case but in ALL the cases that is bad design.

Normally this ( actuation of the relay till the MCU completes its Reset routines and reaches the code that resets the relay ) becomes a big issue if the relay outputs control some other external system in a toggling fashion. Every time you reset the MCU, you will have that one extra pulse confusing things.

Raghu