we had this issue from 1.5 to 2.1 EA1. After creating a new worksheet via Alt-F10 the last selected connection is not saved anymore - as it used to be - so for subsequent openings the connection has to be selected again and again.
Actually SQL Developer QA already logged a bug for this: Bug 13952913 - REGRESSION: CONNECTION SELECTOR CAN NOT REMEMBER THE LAST CHOICE
Thanks for reporting this and giving it a bump.
SQL Developer Team