Yes there is a bug here with it not having a 'no default' option. from memory you can do something like this. switch to static, untick the option that is beahving as 'default', save, then re-edit, set back to dynamic and resave. does that work for you?
Other things that may work depending on the component type
Open 'source' and in the YAML find in the relevant component
'#default_option': '0'
'#default_value': '0'
and delete them.
If it is a listbox then it will just show the first in the list UNLESS you type something into the ‘Empty option label’ field in the component/element. eg type -SELECT-