Selecting in the timeline will select whatever track/bus has focus, and if it's a bus, you'll get the "selection" contains no audio" error. You need to select nothing, and, as Steve said, SONAR will automatically export through the length of the project. If you want more or less than that, you'll have to break down and select the tracks that feed the bus, or as I said, solo the bus without selecting it, and export Main Outs. If there are FX on the Master bus that you don't want, you'll need to go back to exporting with Source = Buses, and deselecting the ones you don't want. I usually take the time to do it this way.
This can all be a little unintuitive, but I'm pretty sure it's all working the same in Platinum as in X3