I need a Ethereum wallet that let me create and manage multiple Ethereum addresses and where I can store and manage ERC20 tokens on each of the created address. I searched lists of wallets but I couldn't find one that meet my requirements. Is there such a wallet?
There is. You can try using coinomi app wallet. It allows you to create multiple ethereum wallets and it also supports erc20 tokens and other types of cryptocurrencies and you will also have the private keys of those wallets. If for storing i recommend you to just use a hardware wallet like trezor and connect it to your myetherwallet for you to be able to access or manage your erc20 tokens easily.