There may be differing opinions, but I've set up an active refugium at inception in each of my last three tanks as soon as I began cycling our tanks. I've found that the extra buffer of the refugium helps with a "soft" cycle which is less extreme and shorter.
Some folks may say you should wait until after cycling, and that a more aggressive/traditional cycle will build up a stronger ecosystem of nitrifying bacteria. I don't find this argument as compelling as long as you're committed to keeping your refugium running and don't suddenly remove it.
I setup our current tank in December and had a lit refugium setup within a few weeks. It's now producing about a softball size amount of chaeto which I'm removing each month. This is from a small Biocube 32. The small tank doesn't allow for larger reactors or skimmers, so this is and water changes are my primary nutrient export.
I personally don't think there's a wrong answer to when or even if you add a refugium. You should add macroalgea or a refugium when your time/budget/enthusiasm allows. You can have a successful tank without using macroalgea or a refugium, but I've always found it easier and beneficial, so I start one right away.