I believe this used to be an error, was resolved for a while, and came back at some point.
Let's assume 2 users with their own sites on a multisite network, Adam has /adamsite and Bob has /bobsite.
If Adam enables Subscribe2, enables the widget, and then Bob visits the site, he'll see the message "You can manage your subscription options from your [profile]", where profile links to /adamsite/wp-admin/admin.php?page=s2
However, when he tries to go there, he gets this message:
You attempted to access the "Adam's Site" dashboard, but you do not currently have privileges on this site. If you believe you should be able to access the "Adam's Site" dashboard, please contact your network administrator.
This is on 3.3.2 with 7.2, and 3.4.1 with both 7.2 and 8.4 (unsure of what other combinations)
I believe the fix likely involves adding the user as a subscriber to the blog they're trying to visit the backend of before taking them to their settings page.
(You should have my email from previous issues I've helped test, so feel free to send me any possible updates to test!)