Your code is filling the values which show in the list. It isn't setting the default value because you haven't asked it to.
You set the default by populating the value after the list is applied
Code:
Private Sub UserForm_Initialize()
Dim myPrefixes() As String
myPrefixes = Split(" |Mr. |Ms. |Dr.", "|")
Prefix1.List = myPrefixes
Prefix1 = "Mr. "
End Sub
It appears you are somewhat inconsistent with your spaces. Is there meant to be a space after Dr.?