There is no option to accomplish this easily, but you might be able to do so with a little extra JavaScript.
You might be able to do so with some code like the following in your theme’s functions.php file.
add_action( 'wp_print_footer_scripts', 'start_collapsible_closed', 2 );
function start_collapsible_closed() {
?>
<script type="text/javascript">
jQuery( function( $ ) {
$( '.collapsible-widget-container' ).accordion( "option", "collapsible", true );
$( '.collapsible-widget-container' ).accordion( "option", "active", false );
} );
</script>
<?php
}
I haven’t tested that, but it appears it should work. A warning about this, though: if you change the settings for the plugin so that it uses a tabbed interface instead of the accordion interface, this code will probably start throwing JavaScript errors.
I’ll look into adding this as an option in the plugin itself. Thanks for the suggestion.