the default character when you start is Citron, during the game's downloading process I to was only Citron and unable to switch characters. Once the game is completely downloaded you are given the ability to swap characters and sides from the booth or the join us console. At least however you can earn XP while playing Citron during the wait and get a feel for the character.
did your game completely download or did you just start as soon as the option was given?
hope that helps.
