Currently, one cannot select an object by clicking on its instances, if the object itself is not shown in the viewport (by disabling the "Viewport" option in the Instancing settings).
There was already a comment that states an assumption that is not fullfilled in all cases: This relies on dupli instances being after their instancing object.
The solution is give every object the correct select_id in the depsgraph object iterator right before rendering.
The video shows that I cannot select by clicking on the one of the four outer cones.