I’d classify this as a bug, because you don’t always want your Scouts with your army.
There should be a way to enable it or disable it.
Suggestion: using Shift + Select all Cavalry should add the Scout to this selection, No Scout should be selected by default.
This would allow this hotkey to be useful, as currently it is useless because you are sending your Scouts into battle constantly.
I can confirm that this was a real pain when I was playing the game on Xbox last year. The scouts die too quickly, but fortunately, they are cheap, so I train lots of them and spread them around, so I can call on them when I need greater vision.
This isnt a bug, its already fixed
Select all Military does not select Scouts
i play numerous games since patch, it never select scout
unless u play MALIANS
they do however select some monks on some faction which need fix
Hey, I have copyrights on that suggestion! 
You read it wrong, please read it again 
this is not about Select all Military,
this is about Select all Cavalry.
the biggest problem you will face with this is: when you are pro scouting, and you have multiple scouts gathering dear carcass all over the map, and at the same time you have some cavalry units to harass the enemy with, being used to utilise this hotkey to select & attack move your cavalry, will also select & attack move the pro scouts, which is not great as you want the scouts to keep getting you dear.
when it get picked & fixed, you can have all the credits mate
You know you could have just left a reply to my post, and it would have bumped it to the top, instead of copy-pasting my post and posting it under your name.