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VSe$_2$ is a layered compound that has attracted great attention due to its proximity to a ferromagnetic state that is quenched by the presence of a charge density wave (CDW) phase. In the monolayer limit, unrelated experiments have reported different CDW orders with transition temperatures in the range of 130 to 220 K, making this monolayer very controversial. Here we perform first-principles non-perturbative anharmonic phonon calculations in monolayer VSe$_2$ in order to estimate the CDW order and the corresponding transition temperature. Our analysis solves previous experimental contradictions as we reveal that monolayer VSe$_2$ develops two independent charge density wave orders associated to $\sqrt{3} \times \sqrt{7}$ and $4 \times 4$ modulations that compete as a function of strain. In fact, tiny variations of only 1.5% in the lattice parameter are enough to stabilize one order or the other, which underlines that the CDW order becomes substrate-dependent. The predicted CDW temperature is strain-dependent and has a value of around 220 K, in good agreement with experiments. Moreover, we analyze the impact of external Lennard-Jones interactions on the CDW. We show that these can act together with the anharmonicity to suppress the CDW orders. In the particular case of monolayer VSe$_2$, this may give rise to the emergence of a ferromagnetic order.