There are a few features from the Legacy database that are not enabled in the Cloud Database's Windows App. This is one of them. It is listed as an enhancement, so will be added as we have time.
In the meantime, this feature does work in the Web App. If a section (or other check-in item like handbook, uniform, etc.) is marked, the attendance will be marked.
Many people who switch from the Legacy database primarily use the Windows App since it is familiar. I always encourage checking out the Web App also. It is especially well suited for use during club time. I've heard from people that came from the Legacy database that they actually prefer it for some tasks.
Update: version 5.5.6.4 of the Windows App now automatically checks the attendance box when a section is completed.