Hi All!
I think I found a solution to this, but I need confirmation/testing!
The solution is based on the following assumption which I don’t know if it’s correct: there is a process (with ID 1000) which is used for getting information about the Captive Portals (the landing page you face upon connecting to free wifi networks, which asks you to register/login before getting access to the Internet) and since I use AFWall+ in white-list mode (everything blocked and only some apps authorized) this process is blocked by default.
Yesterday, thanks to this wonderful community (YEAH!!!) I read this post and I added the custom script to AFWall+ as per the link in that post and…the exclamation mark disappeared after switching off and on again the wifi!!! 
I don’t know if the commands provided in the script (which can be also issued via adb or terminal) survive reboot but for sure putting them in AFWall+ script guarantees they will, so I kindly ask someone with AFWall+ to confirm if it works also on your phone, and to someone without AFWall+ to issue the commands, check if the exclamation mark disappear and then reboot the phone to check if the settings persist.
Bye! 