The very first thing is before selecting any value in dropDown we should first check if it is present or not (just to make sure and avoid the unexpected scenarios)
Now lets come to your error "Cannot have multiple items selected in a DropDownList"
This error generally comes when we try to pass selection criteria for which there may be two items in the dropdown.
Let's say if your dropdown have two items with the value "" and you have written following code
DDLDropDown.SelectedValue = "";
then it will throw this exception.
the simplest way is to check your page source from browser and see what final items were there in your dropdown.
Also one more thing when adding a new listItem, if you want to use same variable then at least reinitialize it
Li1 = new ListItem();
Li1.Text = "ALL";
Li1.Value = ""
Hope this helps you.