QWP 5.5 SP2007 hotfix TFS161250, 161254, 167352 introduces a new behavior hiding the message you see.
If you upgrade you'll get rid of the error message.
To upgrade please contact Quest Support and ask for the above version and hotfix.
Create a custom web part that checks if the session is empty on page load. If it is empty set it to some dummy value.
Please note that the QWP session is a hashtable.
Or, you can use a qListForm, create a custom action based on the code we provide with the product (check the QWP installation folder), create a form initialization custom action, and apply the above logic.
B.(not sure if the message is gone)
Try to set the selector to show the empty value (ie "Please select") and see if you still get the error message.
Please let me know how it goes.