A long time ago I was told to always use "Select none" before exporting. This has always worked for me 100%. If I miss that step I then might get that warning you got.
Now that said, "Select all" should always work too. I cannot remember the reason for using select none but because it always works that is what I do.
My routine for a perfect export is:
Open the console view playing the song.
Solo each buss to check all is working.
I then mute the master to make sure all busses are running through it.
I go to EDIT- Select none ( you can use the keyboard short cut too)
File- Save
File export audio
I use what ever the default setting are but will change the bit rate to 16 most times.
I have my file preferances set to open to the location I store my Masters.