Why are new vessels more permeable in microvasculature?
In adult/pediatric humans, no they don't.  A good figure to get everyone on the same page was made by Cleaver &amp; Melton:



It is important to note that:


  In fact, endothelial diversity is reflected by vessel size-specific,
  organ-specific and even age-specific differences. (1)


Developing blood vessels in the fetus can be a bit of a different story, and highlights the fact the one should loose the "inert plumbing" mentality of the previous century.  Modern research tells us that the epithelium is a very dynamic region that participates heavily with signalling.

When large vessels are growing the fetus, mesenchymal stem cells and neural crest cells are the normal precursors to pericytes, but depending on exposure the line between pericyte and smooth-muscle cell can be blurred (2).  I'm assuming it's beyond the scope of the answer to go into the signalling differences.

A good review of endothelium generation, and the surrounding tissue, can be found here.