DISCLAIMER: The following is suitable for the Spanish spoken in Spain. The answer may vary among other Spanish-speaking countries.
TL;DR. Go for Por favor, selecciona un idioma in most cases.
Quite an interesting question. I will give you my opinion as gamer. Of course, if you are unsure you can always go for seleccionar un idioma, but then the game would be very impersonal. I'd prefer the game to be more friendly, so you have two options, as you already know:
- Selecciona un idioma.
- Seleccione un idioma.
Now, you have to think about the target audience of the game. If it's for kids, teenagers, or even young adults or just can be played by people of all ages, go for selecciona un idioma. I'd go for the polite version if the game is targeted for adults only (maybe a betting game, a sex game, something with a strong adult theme).
You have even another option, if the game is a party one and is going to be played by groups: seleccionad un idioma (party games are light-hearted and so you can use the colloquial version in this case).