That's actually the Realtek one - ASIO4All can definitely have issues with grabbing audio ports and not letting go which can cause people problems - so it's thought easier to just warn/block it.
That said, as @pwal³ mentioned, it's not a problem with other DAWs: Steinberg and Magix would surely not ship their own ASIO:WDM interface with their DAWs which would almost always cause problems (I think FLStudio ships one too, but that's ASIO:WASAPI). So there does seem to be something funky going on with how Cakewalk software works with ASIO (and we're not talking James Brown kind of funky here).