I can replicate this issue over and over but while doing so I found a way to make it work. That is you must bounced all the midi clips so you only have one clip, then it behaves as expected.
The detail steps:
I have a midi drum track, I click on a note to select all the notes for, say, the kick, verify that all the notes for the kick are highlighted, do a Cntr right click - midi plugins - cakewalk FX - velocity, in the velocity tool set a limit for the maximum value, say 65. Now I see that the kick was limit to 65 correctly, but I also noticed that other notes, say the snare was changed by some random value. In my case a section of 5 notes snare roll velo was 69 83 74 85 94, the fx changed it to 65 74 84 85 95. Other notes were changed too, like the hi hat, crashes.