While I understand it's not intuitive, it's actually more often than not what needs to happen. Oftentimes, developers will specify validations requiring associated data, which would break if you try to call #save on a model built with FactoryGirl. Additionally, I mentioned before that AR handles associated data very oddly and over the course of a few years, we've found that creating associated records and not saving the main factory is actually more intuitive, but you'll have to take my word on that :-)
You could use build_stubbed, which will use build_stubbed for all associated records too, but it doesn't allow any database interaction.