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Turns out, I didn't have the object selected before trying to apply. So, I got that working now. But, I'm having trouble using the Bevel menu. No matter which width setting I use, the object becomes extremely pixelated. It looks nothing like the objects shown in the tutorial.
Interesting ... after I posted my question, I noticed that bevelling looks OK when used on a rectangle drawn on the 200' x 200' dungeon template, but not so great on a new sheet that's 2000' x 2000' .