I’d classify this as a bug, because you don’t always want your Scouts with your army.
There should be a way to pick which Scouts get selected when you press Select all Cavalry.
Suggestion: selecting a Scout and using Shift + Select all Cavalry should add the Scout to this selection, just like you do with a regular control group. 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.