When this happens, it means the object is not selected. Since they're currently getting rid of UV face select mode, and integrating it with edit mode, this shouldn't be a problem in future versions.
I hope delirus is right. But I think it's actually a bug in the Blender version for Windows. If you bake AO first it tends not to happen. And if it does happen the only way I've found to get it to work is to export your model as an obj and then import the obj back again. Then bake AO first and it usually works.
"The object isn't selected" : then what about proposing some selections to the user (like with alt+RMB in object mode) ?
It happens on my svn compiled version, on Ubuntu, and even prevented me to bake the AO, whatever way I selected the UV. Therefore this bug isn't related with Windows or the face select mode.
@delirus : you may be right about the integration, I haven't seen the problem since last week.