I don't think this makes any sense for a number of reasons:
1. We don't do modal dialogs in PHD2 unless there is a problem that needs immediate attention in order to proceed.
2. Most users now have PHD2 running behind a session manager app, and it's the session manager app that chooses the profile
3. Users who still like to run everything manually generally don't want or need to change profiles every time. By far the most typical use-case in this context is "same as last time" for the profile
4. Your approach would only eliminate one key press which is hardly worth the bother of yet-another configuration option. The current UI model is consistent: click on the Gear icon to manually choose a profile, do a shift-click on the Gear icon to start with the same profile as last time. We haven't encountered anyone so far who gets confused about that.
Regards,
Bruce