The select none choice is good for ensuring that you haven't already got something selected prior to trying to export. It just clears the slate as sometimes there is something still selected that is out of view.

scook
The "no audio selected" message happens when a selection is made which contains no tracks capable of rendering audio. IOW a selection of MIDI tracks or clips in MIDI tracks. At least that is how I have managed to get the message.
 
When no tracks are selected, all tracks are rendered to the last bit of data and exported subject to the export preferences. Note this may fail if the project is all MIDI and does not use soft synths because there is nothing to render in the host (IOW, no audio selected).
 
When audio, instrument or related audio+midi tracks are selected (note all cases of tracks capable of generating audio), those tracks are rendered and exported subject to the export preferences.
 
If one can generate a series of steps where selecting tracks that can generate audio causes the "no audio selected" error on export submit it to support so they may review the procedure.

So, there's an Export Preference?  I'll have to check that out.
 
JB

They are the settings in the export dialog.

The default output of tracks depends on the template you started the project with.
If you make a template with everything routed the way you like it all will be fine, But--
 
I often start projects by OPENING a MIDI file. There will be no Master or other busses. Just midi tracks and the TTS-1 is the only audio track. This will default to outputting to my Audio interface 1/2.  
So unless I insert a master buss and point all the audio tracks to it, the default output will be my audio interface 1/2 output. 
I find that I then will insert better VST's like AD2 using a track template I saved and this will also insert a Master and a sub buss if they were part of that save. That VST will be set to the Master automatically. 
But If I insert a VST instrument direct from the synth rack it will default to the AI 1/2 output and bypass the master. You have to set the Master as the default etc. 
Therefore I always mute the master buss to check that all audio is flowing through it. 
 
And as said above using "Select None" seems to always work as it clears any highlighted clips or tracks you might have been focused on before you exported. If that was a midi clip the error message will pop up. The export then gathers everything audio and uses it.  
I have used this since Sonar 6 and has always worked. 
It is not a bug that the message appears. It's just how it works. I do believe using "Select All" will also work but there was a reason I was told 12 years ago that I should use `select none so don't ask me why I forget. 
 

Select None in preference to Select All for the simple reason that in the past, for me at any rate, Select All did NOT 'Select All' and certain tracks were missed from the export