To answer your first question:
Does the word "naughty" always have a sexual connotation if it is used between adults?
The answer is "no" – the word need not always have a sexual connotation.
That said, the word is often used to indicate some kind of misbehavior: disobedience in children; suggestive flirting or morally questionable behavior between adults. If you browse through the Wordnik entry for naughty, you'll see meanings like these strewn about:
adj. Indecent; improper: a naughty wink. Archaic Wicked; immoral.
Morally bad; wicked; corrupt. In a mitigated sense, bad in conduct or
speech; improper; mischievous: used with reference to the more or less
venial faults or delinquencies of children, or playfully to those of
older persons: as, a naughty child; naughty conduct; oh, you
naughty man! adj. bad; tending to misbehave or act badly. adj.
risqué: flirting with impropriety and/or bad taste; morally dubious,
especially sexually suggestive, usually in a mild way. adj. evil,
wicked, morally vicious.
In short, the word itself seems loaded with enough innuendo that I think you ought to consider other candidates for your message.
Put another way, I could design a smart phone that opens a texting window with the message
BEGIN INTERCOURSE. That's grammatical, and certainly within the scope of the word's definition, but still I don't think it's the best choice of words.
If you wanted to avoid lascivious connotations, I would think inappropriate would be a much better word than naughty:
No inappropriate apps selected
Inappropriate is much more generic, and slides more easily into a broad range of contexts: inappropriate for work, inappropriate for school, etc.