Use the first_as_label option instead of include_blank.

You can add filter hook for changing default text ” —Please choose an option—” .

$html = str_replace(‘—Please choose an option—’, $text, $html);

function my_wpcf7_form_elements($html) {
    //wp_send_json($html );
    $text = 'Select Option';
    $html = str_replace('—Please choose an option—',  $text, $html);

    return $html;
}
add_filter('wpcf7_form_elements', 'my_wpcf7_form_elements');

(function ($) {
   'use strict';
   $(document).ready(function () {
       var $select = $('.wpcf7-select');
       $select.each(function(e){
         var first_option = $(this).find('option').first();
         if(first_option.attr('value') == ''){
           first_option.attr('disabled', true);
         }
     })
  });
})(jQuery)

Try this and also as mentioned above use (&@8212 ; ) instead of –

<script>
$(function() {
$('.wpcf7-select option:first-child[value=""]').prop('disabled', true);
});
</script>

When posting a comment, editor script forcefully converts &# 8212; into em dash, but with those dashes code by mandipluitel and by MH Sohag does not work, being otherwise right. Since in the code generated by Contact form 7 text to replace looks like: “&# 8212;Please choose an option&# 8212;”, not with dashes.

Note: I put &# + blank space + 8212 to avoid conversion to em dash, so that blank space should be remove in the actual code.