That's correct - once VSE is installed, the client machine needs to tell ePO that it is, and then the ePO server sends own the relevant policy.
If you want to remove this window, then you can create a customised install package of VSE using the Installation Designer - this will let you set the exclusions that you need, and they are active from the moment of install. (I'm not an expert on the Installation Designer but I'm sure some of the other regulars here can help.)
Perfect, that's exactly what I've been looking for. Thanks!