When installing Jenkins with Debian, it doesn't look like there's an easy way to request that the setup wizard be disabled on first start. Typically, this is the kind of thing that would be achieved via debconf, but doesn't seem to be the case:

$ sudo debconf-show jenkins # Doesn't output anything.

As a workaround, you can pre-create the /etc/default/jenkins file, but then lose the ability to let that file be upgraded along with new Jenkins releases.

This'd just be a convenience.