This message appears is "List of Hosts" (LoH) screen.
(Tested in patches Y and Y24)

How to reproduce:
- in LoH screen, click refresh. Stop refresh (we only need one host for this)
- click |?| to open host window and leave it open
- then, set CARS filters to ALL and all HOSTS filters to [yes] (waiting for reply lasts longest - we need this for testing purposes)
- click refresh and while waiting for reply (before hosts start showing up) quickly press X (on that host window we left opened) to close it
- Error while waiting for reply

After clicking ok, you're back in "Multiplayer" screen. No harm done. I just thought that You would like to know about this :P

Thanks for reading