I follow those same steps exactly and get the error every single time whether I select the entire track or individual Midi clips of the SIT before clicking "Track - Bounce to Track" option.
Since no one else is seeing the issue, I thought maybe it was my template. I added a brand new track, dragged a cakewalk-issue VST (True Pianos) to a new track - had it create it as a SIT. I recorded a couple of bars, single clicked on the clip to select it, Track - Bounce to track immediately throws the error "The specified selection did not contain any audio data."
I will take it up with Cakewalk support. Thanks for the input everyone.