You are correct. And it's not that they chose for the Matrix to exist in the first place - humanity fought a brutal war against machine rule and lost utterly, and signed away their bodies under duress ("Hand over your flesh, and a new world awaits you. We demand it." -Animatrix) - but, at least according to The Architect, everyone within is presented with a chance to leave, one way or another. Most choose to stay.
It's worth remembering that the Matrix is an allegory for systems of labeling and control (notably, gender), which make life (and specifically life with others) easier, though not necessarily better. The Matrix sustains the large human and machine populations amidst Earth's ecological collapse; people who choose Zion choose a harder life where they are free to be themselves. However, when Zion grows large enough to threaten the system, the system comes after its residents and wipes them out.
One person's freedom is tolerable, even necessary for the system to continue; everyone's freedom leads to everyone's doom. The movies have some weird-but-rational implications.
...Sorry, I lost track of my point, which is that we're already in The Matrix. The Matrix is society.
