Strictly speaking, hit test capsules don't need to be linked to the model/bones but it is advisable so your hit test fields move with your model during animations.
If you view your model in the SC2 Cutscene Editor and go Render > Show Geometry > Hit Test and turn on Tight, does the hit test capsule appear on the model? If not then your tight hit test capsule (the one responsible for drag selection) isn't being recognised by the exporter, likely due to being named incorrectly.
I've always attached the HitTestTight and HitTestFuzzy's to a bone and never had that issue.
Also, to test if the naming is correct, you can go in the SC2ArtTools menu in MAx and select collapse helpers (or something) so these objects are changed to freezed blue wired boxes, than you know it (should) work(s)
The Vol_Target and Vol_Shield are turned into freezed red wired boxes.
And as djt312 states, that is the way to test them in the editor.