Gravitation chapter 27 provides a little better insight into this statement. The selection of a inertial reference frame comes up in the discussion of homogeneity. Homogeneity in the most general sense means that the universe is "the same" everywhere at any given moment of time (e.g. some set of parameters or governing equations or whatever is the same at all points in space for a given moment of time).
This is easily understood in non-relativistic theories, but is ill-defined in relativistic theories. Unless space-time is flat, there are no global inertial frames in general relativity. This means one has to select an inertial frame from which the can define a 3-dimensional space-like hyper-surface.
The events on the hyper-surface have a local Lorentz frame whose surface of simultaneity coincides to the hyper-surface. The 4-velocity of the Lorentz frames are orthogonal to the hyper-surface.
Isotropy is a statement that an observer can not distinguish a preferred spatial direction from any other. This means that all world lines are orthogonal to the hyper-surface. This is important because the universe can not be made to look isotropic to all observers, only for ones that are moving as part of the "cosmological fluid". This is interpreted to mean that "co-moving observers" share the same hyper-surface and agree the universe is the same everywhere with no preferred direction. Observers who are not co-moving will not see the universe as isotropic, for instance, an observer moving in one direction near the speed of light will see a highly blue-shifted universe in front of them and a highly red-shifted universe behind him, which is clearly not isotropic.
The Special Principle of Relativity then is a statement related to observers on hyper-surfaces. It tells us that co-moving observers will see the same physical universe, but we can smoothly transform from one co-moving hyper-surface to another. Every observer will discover they are at rest relative to the their hyper-surface of homogeneity and they can measure their velocity relative to that hyper-surface. As soon as they change velocity in some direction (accelerate in some direction), there will be a definite direction identified, breaking isotropy.
So in to answer the question, if you are choosing a preferred direction, you are accelerating away from your original hyper-surface. It is General Relativity that tells us you can still formulate your physical laws to be invariant under coordinate changes. The choosing of direction, and associating it with acceleration, means you are in a non-inertial reference frame, which do not abide by the principles of special relativity.