Strange. Just tried it again here and it works.
What version of Nuendo are you using? Make sure you select both the cycle marker and the audio event before use. This function will work only if the cycle marker to be processed is located within the bounds of the selected event as shown in your first post. It can process only one single event and associated cycle marker at a time!!
Try adding an extra command at the end to close the Marker window (this is better for repeated use) as follows:
Transport / Locators to selection
Project / Open Markers
Edit / Invert Selection
Edit / Invert Selection
Transport / To Left Locator
Marker / Set Marker Start to Cursor
Transport / To Right Locator
Marker / Set Marker End to Cursor
Project / Open Markers