I do not know how easy/difficult would be to change that from the developer side,but all my e-mails to Ledger support ended up with generic responses - How can we help you - Did you solve your problem?
It would be like asking Apple to fix a "bug" in their OS because I decided to try and install OSX on a "hackintosh" using unsupported hardware.
You have selected an address from the "Sign Message" drop down... which is supposed to be used for signing messages. This list also includes change addresses. If you want to "receive" Bitcoins, use the "Receive" tab like the software is designed.
Looking at it from the other side... I suppose if the address has been "pre-generated" by the wallet and is included in the list... the wallet should be at least scanning that many addresses as it's "gap limit".