My question is whether or not there is a way to specify the default Exchange Server Connection in ExchangeShell and how I could configure such. Currently ExchangeShell attempts to connect to the nearest server.
If you check the properties of the EMS icon, it should show a command line of:
C:\Windows\System32\WindowsPowerShell\v1.0\powershell.exe -noexit -command ". 'C:\Program Files\Microsoft\Exchange Server\V14\bin\RemoteExchange.ps1'; Connect-ExchangeServer -auto
Change that Connect-ExchangeServer -auto to:
Connect-ExchangeServer -ServerFQDN "servername.domain.com"