I talked to some of the road bikers/racers at work and they also prefer the platform/SPD pedals for the same reasons mentioned by Myosmith. One person had the Wellgo versions on his Pinarello, so that was enough to convince me to try that style on my bike.

Yeah, I did get the SH51 with the A530 pedals. I read lots of glowing reviews of the SH56 though, so I thought I'd try them first. The main difference seems to be the tail end of the cleats. The SH56 is shorter, so it probably makes it easier to release.

Do I want to start with the pedal tension set on maximum or minimum?

Shimano said that their M087G MTB shoes would come with the cleat nuts, but a few reviews said that the clea nuts were missing with their shoes. I did not get cleat nuts with my SH56 or with the A530/SH51 box. It seems weird to me that Shimano is nickel and diming by not including cleat nuts even with the cleat replacements.