The "Write APL link files" is not always available (in the default "Utils" context menu).
From my observation, it is only available when all of the following conditions are met:

1. The file must be a cuesheet file or a file with an embedded cuesheet (see my RFE: support APL file generation for all files)
2. You must select more than 1 track off the cuesheet.
3. You must select a consecutive range of tracks from the cuesheet, i.e. no holes.
4. The range must start at the first track of the cuesheet (however if you rearrange the tracks you can make any track the first track. you just can select a range that starts with a track which have another track from the same file before it).

In any other case it is not available.
Another quirk - you can stick the cuesheet image file in between the cuesheet tracks and even create an APL link file for it as well. If you stick another file instead, it will be skipped.

That's the way this function is designed to work, i.e. this is not a bug.