It depends on where they're being added from. If you bring in a web service, it will often include symbology information. Layer files include styling information as well.
If the layer is being added from a database or file, or is being newly created, the symbology is just automatically assigned, but can still depend on other factors like whether subtypes exist for the layer, whether it is COGO-enabled (lines only), etc. Certain other layer types, like anchor points and links used in other editing tools, are created with default symbology.
You can look in the LayerTemplates folder where Pro is installed to see the various pre-configured templates. The full path would be something like C:/Program Files/ArcGIS/Pro/Resources/LayerTemplates.
While modifying Pro's internal files is generally not advisable, these can modified fairly safely. For example, I have modified the template for the Parcel Fabric layers. Before, they all came in as grey polygons, and I changed them to be a softer yellow color.