Even if the genetics are identical, I would choose the larger, healthier fruit, to assure seed development was never compromised.

Seed saving can be as simple - or as complicated - as you want it to be... it depends upon your goal(s) for doing so. Good general rules are to save seed from the healthiest, or the earliest, or the plant with the highest yield. You could also select for fruit size, shape, color, taste, etc. What you select for is what you are promoting in future generations.

A plant which performs poorly could do so because of poor conditions, but that should not be assumed to be the cause. Poor genetics or disease could also be responsible. I agree with Docmom - it is safer to save seed from the healthy plant. All else being equal, regardless of the reason(s) for the difference, seed from a healthy plant will likely be stronger.

It is worth noting that peppers can cross, if different varieties are grown in fairly close proximity. Anywhere within a standard city lot would probably qualify as "close proximity". If multiple peppers are grown, you can still save pure seed, provided you cover the plants to exclude pollinators. Floating row cover is very effective for this purpose.