How to specify which category of the post to use in case of multiple categories

It all depends, how these categories are displayed in your theme.

If it’s done nicely and with proper use of WP template tags, then that list comes from get_the_category() function (all other functions are using this one).

And at the end of that function you can find

return apply_filters( 'get_the_categories', $categories, $id );

So it’s great news, because it means, that you can write your own filter and remove given category from the lists:

function prefix_remove_featured_category_from_post_categories_list( $categories, $id ) {
    // do whatever you want with $categories list
    // for example remove some category from the list
    $categories_to_remove = array(
        'cat-slug-a',
        'cat-slug-b'
    ); // Array of categories slug to be remove. Put your slugs in here

    foreach ( $categories as $index => $single_cat ) {

        if ( in_array( $single_cat->slug, $categories_to_remove ) ) {
            unset( $categories[ $index ] ); // Remove the category.
        }
    }

    return $categories;
}
add_filter( 'get_the_categories', 'prefix_remove_featured_category_from_post_categories_list', 10, 2 );