From the base self-hosted is same as a cloud but you can customize that. But I don't see any reason for that in that case. Why don't you use the method above, just use the option Use caption when value is empty to and set that to "-" or "(select)" whatever you like. Plus you can mark that field as required and then user won't be able to save with the default value and he will need to select one of the list fields.
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