Since dev-branch version 1.43.129986 you will always get the message "No player was selected!" if you try to start a self created multiplayer mission (playable units available).
That message will only disappear, if you created a player unit. That was normally not necessary as long as there are available playable units in your multiplayer missions.
Tested with the latest two dev-branches (1.43.129986 and 1.43.130012)