Wrapping a group of <input type="radio"> elements sharing a name in a <fieldset>/<legend> tells a screen reader what the group is for. The browser also handles arrow-key movement within a native radio group for free.
The difference from a checkbox is the cardinality already covered; the relationship to a segmented control or a <select> is about option count. Use radios for 2–5 options that should all be visible for comparison at once, a select when the list grows long, and a segmented control when you want the immediate, button-press feel of switching a state on the same screen — a filter or view toggle.
Leaving nothing selected by default risks users skipping past the question entirely, so picking a sensible default is usually worth doing.