The [Exclude Codeshare Flights] and the [Connections] drop down list box are completely separate and independent options.
I ran into exactly this problem the other day and I also thought it is a bug.
It is counter-intuitive... the other fields in this dialog box are only active/used in case there is a check mark on the left side. If that check-mark is off, then I assume the setting in the drop box is ignored, just as settings in the other fields are ignored when their related checkbox is off.
Since you now clarified that this field is independent from the checkbox, I suggest to separate them into two lines... it will be much more clear that they are not related/dependent.