This is a problem all the way through Dolphin. It's especially bad when it comes to selecting photo albums. Almost every user uses the defaults and selects a new album instead of one they already own. My friend's site has people with 100 photos in 100 albums.
You probably already know that you can remove the countries you don't want in admin/builders/predefined fields. Although I've never tried it, you could enter Select . . . in the first field because the field order can also be changed. Maybe with a bit of luck, it won't be accepted as a country, but sadly luck doesn't always work in our favour with Dolphin.
I just tried this and it seems to work.
In the predefined Values enter Select in Value.
Enter Select . . . In LKey 1
Bring Select to the top using the arrows on the right.
Clear the caches and go to the area of concern. On my test site, when I clicked Select. . . A list of countries appeared.
Now that's a hack if ever I saw one, so don't blame me if it doesn't work.
I'm moving my sites to my VPS server so I can't be of too much help right now.
I just tried it and if they don't click Select, it will become a field value unfortunately. I think most people would click it, but the world is full of "....."