I just tried this on my Nexus 5 (Android 6.0.1) and it worked:
- Make sure your phone is NOT connected to any device over USB cable
- Go to Settings – Developer options – Select USB Configuration
- Set your desired default connection type
The trick was to have a phone disconnected from USB. I guess the idea behind such a behavior was that if you set an USB connection type while your phone is not connected to any device, it will be treated as a default behavior.