jasonarts Hi,
Where did you buy your ticket in the opposite direction? Was it another route?
I think that the issuance of direct international tickets is not possible, the route must be split: St. Moritz - Chiavenna with the bus and Chiavenna - Bergamo with the train.
I do not know why. On another site, Trainline, it is possible to buy such a ticket in one transaction (Please note that Trainline is not the official site of the Italian Railways, Trenitalia).