I discovered that the following WiFi Manager application was the reason:
Wi-Fi Privacy Police (prevention of sensitive data leak on WiFi)
The problem disappears each time I disable this application. Here's how to disable it:
You have therefore disabled the automatic start of the application. Now, restart Android.
After the Android restarts, check again the Android Wi-Fi settings: The WIFI MANAGER OFF NETWORK SELECTED MESSAGE error message should be gone.
Wi-Fi Privacy Police was actually a useful app for a long time, until I noticed the worrisome WiFi connection repeatedly interrupted. Below is a screenshot of the functionality of this application: