Having both connected brings two potential issues.
1. Yes, you might select the wrong drive. I've seen that in here
2. With 2 drives connected, Windows often puts the System Reserved partition on the other drive (the HDD here). If you ever take that out or it dies, no boot for you.
For simplification, just have the SSD connected.
You can have everything actually installed, just leave off the data cable on the HDD.
After, it takes 5 seconds to reconnect it.