STM32 Blue Pill connected with both USB and SWD at the same time?
When connecting the ST-link do not connect the 5V/3.3V pin, then attaching both st-link and usb at the same time is okay.
The warning is that if you plan to power the board through the 5V pin, you cannot also power it through the USB, as that would short-circuit the two 5V sources.
When using the ST-link, it provides a 3.3V output, which our usb already provides. So to electrically connect the 2, you just short grounds and leave the 3.3V pin on the STM32 Bluepill floating.