Why does Selim Bradley have a nipple on his forehead? When Ed "kills" Pride, a tiny baby pops out. When we see him 2 years later, it appears he has a nipple in the middle of his forehead.

Why?
It's another mark commonly worn by homunculi.

This a remnant from Selim being a homunculus. The ouroboros tattoo is a recurring mark of a homunculus, but there are other common themes that at least some homunculi share.

Look for the red lines and circles, most notably found on Sloth, Gluttony, Lust, Envy (only in his true form) and Greed (when he has his shield up).



 

The "nipple" you see on Selim's forehead is a continuation of this same mark. The tiny baby already had this mark:



The "old" Selim (the one who was destroyed) wasn't the actual homunculus. It was a container (the true homunculus was the little baby).

Why don't all the homunculi have these marks?

Well, first of all, these marks are never explicitly mentioned (at least not in the shows, I haven't read the manga) and not plot relevant. Therefore, it's possible that these are not required, but rather a design choice (or a consequence from their creation)

Or maybe Father managed to improve his later homunculi so that they don't need the mark anymore, though GreedLing still has the red marks and he is the newest addition.

There are two homunculi who actually bear the marks, but are able to hide them:


(as per the other answer) Pride (Selim as we initially meet him) is nothing but a container for the true homunculus (the tiny baby which later grows up to be "nipple Selim"). Since the baby survived when the shell died, that proves that the container is not connected to the homunculus itself, and therefore the container does not need these marks.
Envy is a shapeshifter, thus he is able to hide the marks by choosing his humanlike form. Since the big green monster is considered his true form, that means that his humanlike appearance is his own preference. Note that Envy's headband still carries a similar mark, so that means he chooses to display the mark though not on his body as a tattoo. This strongly suggests that the mark itself is optional (but preferred).


So actually, there is only one homunculus who does not have the mark: Wrath (Bradley). But Wrath is also unique in other ways, e.g. the only homunculus that ages. It stands to reason that there is a very good reason for Wrath to hide his homunculus marks: because he is a deep agent who needs to stay anonymous.

So there are two possibilities here:


All homunculi have this mark (in different forms), we simply haven't seen Wrath's. Maybe it was under his clothes, we never see him naked or even undressed.
All homunculi except Wrath have this mark. Wrath is a specially designed homunculus in many ways (he ages too), so it's not impossible that his mark was hidden because he needed to go undercover as the Fuhrer.