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Still I wonder why I do not have to select any interface manually for FastDDS but for Cyclone DDS. Does Cyclone DDS lack a feature?

That's simple: different choices and different histories. Cyclone DDS has a long history where it made sense once upon a time to stick to a single interface, and while it has since gained the ability to use multiple interfaces, the default behaviour hasn't been changed (yet). I don't know about the ancient past of Fast-DDS, but today it defaults to using all interfaces at the same time and allows you to restrict the set of interfaces if you don't want to use them all.

Both defaults have merits. Being a bit restrictive about the interfaces you use and trying to force the user to pick the correct one(s) if it isn't obvious means you avoid advertising addresses at which you're supposedly reachable that don't actually work (e.g., NAT boxes and link-local addresses are nasty) and have an easier time dealing with 100 network interfaces (I have seen that ...), but the price you pay is that there are cases that would've worked out of the box if you'd gone "happy-go-lucky".

All considered, I think "happy-go-lucky" is the better choice these days, so Cyclone DDS's default will likely change.