When I open pwSafe from the dock it asks me each time which safe I want to open. What do I have to do that it remembers the file and directly opens it?

pwSafe "remembers" the state the app was in when you last closed it. If you wish it to open a specific safe file when you open it, take care to close the app with your safe file still open instead of first closing the safe and then the app.

When you click the red button what you're actually doing is closing the safe. The way macOS works, you're only closing the program's window but not the program itself. When you use the right click and close on the dock, you're quitting the app itself, which you can also do by clicking "pwSafe" in the top menu bar, then "Quit pwSafe", or just using the "Command+Q" keyboard shortcut.