You should always turn on your Tx before plugging the battery in. That is exactly why you were having the issue. The radio needs to tell the ESC what to do. And when you are done flying you should unplug the battery before you turn off the Tx.
Ok, here is what I found:
Having the Tx turned on *BEFORE* plugging in the battery seems to do the trick.
Seems simple, but I hadn't seen this documented anywhere. Hopefully it helps somebody in the future.