When pushing a new branch, manually add merge configuration.

magit.el

@@ -3045,7 +3045,12 @@ typing and automatically refreshes the status buffer."
     (magit-run-git-async "push" "-v" push-remote
                          (if ref-branch
                              (format "%s:%s" branch ref-branch)
-                           branch))))
+                           branch))
+    ;; Although git will automatically set up the remote,
+    ;; it doesn't set up the branch to merge (at least as of Git 1.6.6.1),
+    ;; so we have to do that manually.
+    (unless ref-branch
+      (magit-set (concat "refs/heads/" branch) "branch" branch "merge"))))
 
 ;;; Log edit mode