Hello Venkat,
I don't think there is a setting to default to local - As far as I'm aware the only situation where "Run in sandbox" is not the default is when you have a cloud container connected to your app (At this point "Run as Sandbox" isn't available anymore).
Hope this helps
No you cant at the moment. there is an idea about this on the forum you could upvote: https://forum.mendix.com/link/ideas/769