On the page:
https://manual.reallusion.com/character-creator-4/content/enu/4.0/15_SkinGen/Basic-Concepts/Baking-All-Skin-Textures.htm

On step 3: "Execute the Modify > Bake All Skin Textures command."

The "Bake All Skin Textures" command is NOT under the Modify dropdown.
It is found under the Character dropdown on the top menu.

I am using the 4.31 version of CC4 trial version.