Don't feel bad though! I also wasted a couple of hours on my first co-op playthrough, not knowing that there is such a button.
However, it would be cool if a .ini file could be edited (generated) to set a preferred character assignment (A,C to player 1; B,D to player 2 etc.) once the other player connects to your game.
Though it feels like too much effort though to save a couple of seconds every couple of days or so.
