Good question - I'm not sure.
I first learned about this when two people who downloaded my Border Down stand-alone selfboot reported they were forced to enter Internet settings every single time they booted the CD. I don't know why they'd have to do it all the time whereas you got away with doing it just once, but it appears to be caused by running the U.S. 2.6 browser on a PAL Dreamcast. Is your DC a PAL model?
My Dreamcast doesn't even have any settings, its flash memory is wiped clean. And I never encountered this issue; my copy boots straight to the game...