Should a dropdown always start with a blank option, or is a sensible default better?

Yes, required versus optional changes it, and in a way that catches people out.

For a required field, the blank option is doing real work: it lets validation distinguish "not answered" from "answered". Without it there is no unanswered state and your required check can never fire — which is the situation where the alphabetically-first country ends up in your database a thousand times.

For an optional field, blank is not a placeholder, it is a legitimate answer meaning "no preference" or "none of these", and it should be labelled as such rather than left empty. -- none -- or No preference is clearer than an empty row, which reads as a rendering bug.

The common mistake is using a blank first row as an instruction — an empty line where the label should be. If it says nothing, people do not know whether it is a choice or a placeholder.

There is a principle and it is sharper than case-by-case: does the field record a fact about the user, or a preference you are allowed to guess?

If it records a fact — country, date of birth, which account, how many people are travelling — a default is a lie you have written on their behalf. They will not notice, it will be wrong for a portion of them, and you will not be able to tell the guessed values from the chosen ones afterwards. Start blank.

If it records a preference where a wrong value is cheap and reversible — sort order, page size, theme — a sensible default is a kindness and blank is friction. Nobody wants to choose a page size.

The test that follows: what happens if this is wrong and nobody notices? Wrong country on a shipping form is a returned parcel. Wrong sort order is a click. That difference decides it, and it decides it consistently.