Choice of normally open or normally closed for a valve actuator is part of the overall controls design process, part of which is considering safety/protective functions.
As an example, consider a climate where it gets freezing cold (below 0 degrees C). You have a normally closed heating valve that is closed. Something happens such that your electronic valve actuator no longer receives power (board burns out, breaker trips, etc). Now imagine you are away from home for an extended period of time, and you don't know your valve is now stuck closed, and it gets freezing cold. The zone will have no heating, and the consequences of no heating to the zone could be a burst pipe and a flooded home. Had the valve been normally open, you would likely be wasting energy overheating the space, but no burst pipe.
Note that normally open/normally closed is often used to mean fail open/fail closed, but they are not necessarily the same thing. Motor actuators without specific additional features (spring return, capacitor driven return, etc, backup power) do not have a fail safe state on loss of power, they fail in place. Normally open/normally closed can describe the valve state at the control signal input of zero/false/off.
By the way, there are other valve actuators used in hydronic heating systems besides electronically operated actuators. Pneumatic actuators and mechanical (thermostatic) actuators also exist.