1.  I highlight all clips on a track (in this case MIDI) and select Bounce to Clips.  Sometimes that works fine, but sometimes the clips stay separate.
2.  Sometimes when I select ALL in a track, it looks like all clips are selected, but when I Bounce to Clips and then un-highlight, there is a still a clip or two at the end of the track that didn't get included.
 
What is this?

I don't know Conrad but it behaves the same with audio. I was dealing with this today along with other random Sonar glitches. One of my fav's is when the track view stops scrolling and becomes detached from the transport. I have to shut down to clear that one.

Hmm.  I'll see if I can figure out the common factor.  It is quite annoying.  For one thing, when you freeze, you need to clips to extend beyond the end of the MIDI so combining clips matters.

I have had weird bounce to clips too....sometimes some left out....in one very recent case needing....and saved by the edit history...and glad I proof read (listen)