I bet you still connect your STM32F1 "Blue Pill" boards to your STLink clone with jumper wires, like some sort of caveman, right?
That was annoying me.
Got myself some @oshpark boards.
Soldered it all together.
From the fab, it connects VCC from the STLink from the board. Things IRL are more complex though, so you can cut the VCC trace in between those centre header pins. So like, when you're powering the STM32 externally, you don't power from the programmer.