Am not sure i understand what exactly you mean since i am already using a wrapper class. Let me give you the entire controller as well as a simplified visualforce page.

public class UnresolvedEmailsController2 {
    
    public String id;
    public List<selectoption>item{get;set;}

    public string picklistvalue {get;set;}
        
    public UnresolvedEmailsController2() {
                    
    item = new List<selectoption>();
    item.add(new selectoption('None', '-- None --'));
    item.add(new selectoption('SearchToAddToContact','Add to contact'));
    item.add(new selectoption('SearchToAddToAssociate','Add to Associate'));
   }
   public User user = [Select Id,Email,Name,FirstName from User where id = :UserInfo.getUserId()];
   
    
   public ApexPages.StandardSetController setCtrl
    {
   
        get {
            if(setCtrl == null) {
                setCtrl = new ApexPages.StandardSetController(Database.getQueryLocator([Select Id, Subject__c,From__c,Assigned_to__c,owner.name FROM UnresolvedEmail__c  where owner.name = :user.Name ]));
                // sets the number of records in each page set
                setCtrl.setPageSize(20);
                 }
            return setCtrl;
        }
        set;
      
    }
    
  
  //Our collection of the class/wrapper objects cUnresolvedEmails 
    public List<cUnresolvedEmails> unResolvedList {get; set;}

    //This method uses a simple SOQL query to return a List of UnresolvedEmail__c
    public List<cUnresolvedEmails> getUnresolvedEmail() {      
            unResolvedList = new List<cUnresolvedEmails>();
            for(UnresolvedEmail__c c :(List<UnresolvedEmail__c>)setCtrl.getRecords()) {
                // As each UnresolvedEmails is processed we create a new cUnresolvedEmails object and add it to the unResolvedList
                unResolvedList.add(new cUnresolvedEmails(c));
            }
        
        
        return unResolvedList;
    }
    
   
     public PageReference addToSelected() {
     id = ApexPages.currentPage().getParameters().get('id');
     List<UnresolvedEmail__c> selectedEmails = new List<UnresolvedEmail__c>();
    
    
        //We will cycle through our list of cUnresolvedEmails and will check to see if the selected property is set to true, if it is we add the UnresolvedEmail to the selectedEmails list
        for(cUnresolvedEmails cUnr : unResolvedList) {
            if(cUnr.selected == true) {
                selectedEmails.add(cUnr.unreml);
            }
        }
          // Now we have our list of selected contacts to add to
        System.debug('These are the selected Emails...');
        for(UnresolvedEmail__c unreml : selectedEmails) {
            system.debug(unreml);   
          PageReference pageRef=null;
                if (picklistvalue =='None')
                {
               ApexPages.addMessage(new ApexPages.message(ApexPages.severity.ERROR,'Select an option to proceed!'));
                }   
                else 
                {
             pageRef= new PageReference('/apex/'+picklistvalue+'?id=' +unreml.id);
             pageRef.setredirect(true);    
                }
            
             return pageRef;
     } 
            
   
      
             return null;  
   }
      

        
    // indicates whether there are more records after the current page set.
    public Boolean hasNext {
        get {
            return setCtrl.getHasNext();
        }
        set;
    }
 
    // indicates whether there are more records before the current page set.
    public Boolean hasPrevious {
        get {
            return setCtrl.getHasPrevious();
        }
        set;
    }
 
    // returns the page number of the current page set
    public Integer pageNumber {
        get {
            return setCtrl.getPageNumber();
        }
        set;
    }
    
    
    // returns the first page of records
    public void first() {
        setCtrl.first();
    }
 
    // returns the last page of records
    public void last() {
        setCtrl.last();
    }
 
    // returns the previous page of records
    public void previous() {
        setCtrl.previous();
    }
 
    // returns the next page of records
    public void next() {
        setCtrl.next();
    }
    
       
   // This is our wrapper/container class. A container class is a class, a data structure, or an abstract data type whose instances are collections of other objects. In this example a wrapper class contains both the standard salesforce object Contact and a Boolean value
    public class cUnresolvedEmails {
        public UnresolvedEmail__c unreml {get; set;}
        public Boolean selected {get; set;}

        //This is the contructor method. When we create a new cUnresolvedEmails object we pass an UnresolvedEmail that is set to the unresolvedeml property. We also set the selected value to false
        public cUnresolvedEmails(UnresolvedEmail__c c) {
            unreml = c;
            selected = false;
        }
    }
     
   }

<apex:page controller="UnresolvedEmailsController2" >
<style  type="text/css">
  p {color:red }
  </style>
  <p> <b> Please select a record before performing any action!</b> </p>
<apex:form >
  <apex:pageBlock title="Unresolved Emails" mode="edit" >
  <apex:pageMessages /> <!-- this is where the error messages will appear -->
   <apex:pageBlockTable value="{!unresolvedEmail}" var="Emails" >
                <apex:column >
                <apex:facet name="header"> 
                <apex:inputCheckbox >
                <apex:actionSupport event="onclick"  onsubmit="checkAll(this)" rerender="Selected_email"/>
                </apex:inputCheckbox>
                </apex:facet>
                <!-- This is our selected Boolean property in our wrapper class -->
                <apex:inputCheckbox value="{!Emails.selected}" id="checkedone" >
                <apex:actionSupport event="onclick" rerender="Selected_email" />
                </apex:inputCheckbox>
                </apex:column>
 
                <apex:column >
                        <apex:facet name="header">Subject</apex:facet>
                        <apex:outputlink value="/{!Emails.unreml.id}">
                        <apex:outputField value="{!Emails.unreml.Subject__c}"/>
                        </apex:outputlink>
                </apex:column>
                <apex:column >
                        <apex:facet name="header">From</apex:facet>
                        <apex:outputField value="{!Emails.unreml.From__c}"/>
                </apex:column>
                <apex:column >
                        <apex:facet name="header">Assigned To</apex:facet>
                        <apex:outputField value="{!Emails.unreml.Assigned_To__c}"/>
                </apex:column>
                <apex:column >
                        <apex:facet name="header">Owner</apex:facet>
                        <apex:outputField value="{!Emails.unreml.owner.name}"/>
                </apex:column>
                
                  <apex:column > 
                          <apex:selectList value="{!picklistvalue}" size="1" > <Apex:selectOptions value="{!item}" />
                           <apex:actionSupport event="onchange" action="{!addToSelected}"/> </apex:selectList>
                   </apex:column>
                </apex:pageBlockTable>
                   
                    <apex:panelGrid columns="4" style="text-align: center; vertical-align: middle;">
                    <apex:commandLink action="{!first}">First</apex:commandlink>
                    <apex:commandLink action="{!previous}" rendered="{!hasPrevious}">Previous</apex:commandlink>
                    <apex:commandLink action="{!next}" rendered="{!hasNext}">Next</apex:commandlink>
                    <apex:commandLink action="{!last}">Last</apex:commandlink>
                </apex:panelGrid>
               
    </apex:pageBlock>
</apex:form>
<script>
function checkAll(cb)
{
var inputElem = document.getElementsByTagName("input");
for(var i=0; i<inputElem.length; i++)
{
if(inputElem[i].id.indexOf("checkedone")!=-1)
inputElem[i].checked = cb.checked;
}
}    
</script>

</apex:page>
                  

 Note: I have also tried this without the wrapper class & it still behaved the same.