I already have it connected to the Hub and someone asked me if it could be connected to an existing Alby hosted wallet, so I tried it and we both got the same error. Him AlbyGO wasn't fresh and not connected to anything yet.
Discussion
If this is 'new' hosted wallet, registered after July this year, it's expected - need to have node linked. If Account is linked to Hub with active channels, nwc.getalby.com should connect the app via <--NWC--> Alby Account <--NWC--> Alby Hub