I don't know Cakewalk Express so I am not familiar with this behavior. Do you want to choose a loop with the loop selection during playback and hear the loop you selected only one time? If that's what you want, I don't think this is possible. If you type Shift+Spacebar, any selection automatically becomes a loop, so although only the
selection will play back, it will loop.
If this is not what you want, please tell me more about what you want to do.