My misunderstanding... I thought it was coming from your data source.
InfoPath *always* inserts a blank at the top. How else is the user supposed to make "no selection" in the drop-down? Granted, this is not always desirable. There is no way around this in the designer, however, you can modify the view .xsl file manually to remove the <option></option> code from the drop-down. This modification will persist until you modify the drop-down in any way in the desinger again, after which you will need to remove the code again from the view.
I used to complain about these all the time, but finally decided that it is rare that I actually care that the blank option is not present. So now I just leave them alone. If I have a hard-fast requirement to not have it present, I follow the steps outlined in the previous paragraph.
Recommendation--leave them alone unless its critical they aren't there.
Good luck.