Hi,
VisualGDB would normally remember the USB serial number of the ST-Link you selected in the wizard/project properties and automatically select it next time. It will only show the selection dialog if more than 1 ST-Link is found and none of the found instances has a matching serial number.
If you want to select a specific ST-Link instance, simply pick it on the Debug Settings page of VisualGDB Project Properties (or manually change the serial number stored in the .vgdbsettings file to an invalid value to trigger the selection dialog).