The Connect To: control on the main UI toolbar allows you to quickly connect to any alias - except the first. There is no (obvious) way to open a connection to the first listed alias using this UI element.
To work around this I added a placeholder alias named _dummy.
Observed behavior: drop down the alias list and click on the first alias. Nothing happens apart from the dropdown list being closed.
Expected behavior: drop down the alias list and click on the first entry, Squirrel opens a new connection to that alias just like it would any alias other than the first.