On my Ubuntu if I enter the incorrect password for a WiFi, there is a brief pause and then I am prompted to enter it again. With the identical dialogue. I noticed the same, or similar behavior with several other devices. That is, you are not explicitly told that you gave the wrong password, instead you see that something is not working, but don't know what.
I am wondering, is this behavior specific to the user interface that handles connection to the WiFi, or is it an intrinsic part of a protocol or a standard that is used by WiFi? Are there some safety reasons behind this behavior?