I guess it depends on what you mean by a sphere. You can take a point and draw straight lines out from it all of the same proper distance, but the surface formed by the ends of those lines won't in general look spherical. If you take a surface that looks spherical then in general there is no point where straight lines from that point to the surface all have the same proper length.
@ManasDogra Read it again, he even gives an explicit example: If your spacetime is like $\mathbb{R}\times S^2$ (this is just $\mathbb{R}^3$ with the origin missing), then there is no center to the $S^2$ that would be part of the spacetime - the notion of its center only makes sense when you embed a sphere $S^2$ in an $\mathbb{R}^3$, and Wald's point is that in a general manifold there's no reason to assume all spheres are embedded like that
@ManasDogra And actually, in exactly the same sense the Schwarzschild solution has no center - the singularity is not part of manifold in most treatments
@Slereah What is the meaning of that? I was thinking like---The surface of the cylinder doesn't have the circle's center. But then the circle alone also does not contain the circle's center?
Wald says that in a curved space a sphere need not have a center...In flat space also the sphere itself does not have the center. The center simply does not lie on the sphere...So what's special about the curved case?
Now I get the para and ACuriousMind's answer completely except one part
How is $\mathbb{R}\times S^1$ isomorphic to $\mathbb{R^2}$ without the origin...I am visualizing it to be taking the Euclidean plane and identifying two points along say x-axis, then I am getting a cylinder...How is the origin of the plane getting removed?
@ManasDogra $S^2$ is a sphere. If we remove the origin, then every point in $\mathbb{R}^3 - \{0\}$ lies on such a sphere of some radius, and for every radius $r\in(0,\infty)$ there are points, so $\mathbb{R}^3 - \{0\}\cong (0,\infty) \times S^2$
If you want an actual function, take the cylinder (0,1) x S, and make a function that sends the bottom circle to a point, while the top circle is sent to infinity
Oh yes, that was the thing I couldn't quite understand some days ago
The version with diads (or dyads, I'm not sure about the spelling)
In Rovelli's book there was this definition of Frame Field. The meaning of such object is quite clear to me but the definition of "local cartesian coordinates" used there seems handwavy
Anyhow, now that I know the basis is a random orthonormal basis on the tangent space the whole picture seems clear. The "orthogonal projection on the manifold" was a weird way to say project on the basis induced by $\varphi=(x^1...x^n)$. Thanks for helping, this was very useful @Slereah
I might have studied this in DG when I learnt the condition under which a set of vector fields which are a basis at each point can be written as the canonical derivations fields
I.e. having all of them commuting (that should be the second order condition you mentioned above)
And this also makes me understand (and appreciate) why I had to study those things