Are you using Workflow Channels yet? If not, from your post it sounds like that's what you want (i.e. different workflows by UD4): https://onestream.mcoutput.com/release_8.1/Content/Design%20and%20Reference/Workflow/NoDataLockCombo.html (I would skip the section "Pre-build Workflow Channels", read it at the end). Migrating an existing app to using Channels might require a bit of work though.
This said, that error might simply indicate that something else in the Workflow was executed before the Entity was assigned. It might be enough to Reset the Scenario, assign the Entity, then re-do the steps. But I suspect you'll be happier with Channels in the long run.
I will take a look at the documentation and think about your other suggestion. Thanks for pointing me in a direction.
