Not sure if it is an issue but got it since Cubase 9. The same thing is in 9.5.
I add FX track directly from the audio track send panel. I have FX track routed to the main bus. Then, I create a group track for audio track with FX on it and I’m not able to route FX channel to the same group (it’s not in the list of groups). I.e. it is not possible to to route FX track to the group track that was added after the FX track.
Fx track shows “no bus”.
I’m pretty sure that this wasn’t a problem in Cubase 8.