Since it doesn't happen with other Character modifiers (Faux Italic, All Caps, Small Caps, Superscript, and Subscript), I consider this a bug.
You've probably noticed that it also happens with Layer > Create > Create Masks from Text.
Auto-Trace works as expected, but it's looking at the Alpha and not the Character panel settings and of course does not result in Shapes.
I'm guessing a bold version of the font is not available?
After using Layer > Create> Create Shapes from Text while Faux Bold was enabled, we can enable Stroke set to the same color value as the Fill and increase the Stroke Width in the resulting Shapes until it best matches what Faux Bold was doing. This a little bit of futz work, but can be done quickly enough using the Timeline Text Field to reveal "Stroke", "Stroke Width", and "Color".