Dogecoin: No wallet has been loaded
I think I know the reason now... the problem is that on the official dogecoin website, the version to download is 1.1.0, which is the one I downloaded, but is not the latest. The latest now is 1.8.0 (apparently, according to github). I switched to the new version and the problem was solved.

If the devs of the Dogecoin website are here, please upgrade it.