I guess people are out to destroy any means that wallet developers build to help them increase their own privacy.
This is not have any connection with privacy,
It does... what RGBkey was point out was that by manually selecting addresses and (most likely) re-using them... you are ruining not only your own privacy, but the privacy of those that you transact with. There is a reason that address re-use is discouraged!
if I use address generated by wallet to receive coins, than that coins should be displayed on my total balance. As Adriano2010 say, he just want some address which will be recognizable for him, and I also want the same thing. Problem is that this is not working with Ledger because they do not know/or they do not want to remove/increase address gap limit and they are aware of that "problem". I'm not sure is there any warning in Ledger site about this issue, but although it happens rarely any info would save someone a lot of nerves and time.
People are "misusing" the wallet... if you want a "receive" address... click "receive" and the wallet will give you an "unused" address within the gap limit. By manually selecting an address from the "sign message" dropdown you are using the wallet in a non-standard way and run the risk of running into issues.
It's like smashing the top off a bottle of beer and then complaining that there are shards of glass in your beer...
and that the beer maker should fix the problem.
I imagine that they have to limit the gap limit setting on the server-side to prevent possible "DDoS" attacks from people setting it to 10000 and then opening multiple wallets. If you need to search past the default Ledger gap limit, you can always hook your wallet up to Electrum and do it there (or even use the xpub with Electrum and a watching only wallet for added security)