Additional test showed that roles drop-down list opened for any subsite under “Network Admin -> Sites” shows a list of roles from the main site, not all roles from all subsites as I wrote above.
WordPress core does not takes into account here that roles list can be different between subsites. So if roles are not synchronized between subsites you can get such error message.

You have to remember that wordpress stores roles for subsites separately for every subsite.

I will look if it’s possible to fix this issue via a suitable hook.