I would like to point out that it is possible to add a custom text to this empty dropdown – to indicate what the user has to do here. It is also possible to set default values so that on creation a value is already set.
If you really want to hide it; the empty entry is not exclusive to Mendix – check out to see how to hide it via css
Using Mr.Lukas Tost's good answer I describe the detail method.
I think it will be helpful for beginners of Mendix like me.
jQuery ("option [value ='']"). remove ();
jQuery ("option:first-child"). remove ();