You should choose a name for your saved selection, for example "Save selection as: CMYK objects".
This Action does not preserve the saved Actions, only the resulting selection. For example, if you have selected all text and save this selection, you can use Restore selection to re-use this text later on in the Action List. However, if you added text later (after saving the selection), the added text will not be included in the saved selection.
Select by color space <! -- Select by color space Select CMYK --> Save selection <!-- Type "As CMYK objects" --> Convert to RGB objects <!-- Convert color --> Select all <!-- Select all --> Apply RGB curve Select by color space Restore selection <!-- From the list, select "CMYK objects" -->