Is there a disadvantage to using quick for every rule? I don't understand why PF doesn't default to going by the first matching rule, instead of the last. Wouldn't that be more efficient instead of processing through the whole list?

Maybe, but it wouldn't give you the flexibility that not stopping on the first matching rule gives you.

If you're used to other firewalls, setting quick on all your rules will be more what you're used to. Not having the first match be the final one is a really cool thing when you need it though.

Briefly, the main advantage of a "last match" vs. "first match" is that with last match, your default rule goes at the top of the list. In most cases this is going to be "block all". That allows you to very quickly confirm that your default rule is, indeed, "block". It's also the first rule you write when defining a new configuration, so there's less chance you'll forget it. I know that seems trivial, but anything that leads to better awareness is a good thing.

Instead of using "quick" on every rule, write your rules in order of least specific to most specific (top to bottom), that will achieve the desired effect. I use "quick" in a few of my block rules so that I don't have to place them at the bottom of my ruleset (and because they match a lot, so I want them to short-cut evaluation). That's really the only thing I use quick for.