The area of the bed accessible for engraving is smaller than that for cutting. The head has to have room to slow down before hitting the edge.
If you’ve set your material type / width and selected settings for a piece, and it still shows as gray on the screen, then it’s outside the bounds and won’t be cut/engraved.
To cut a jig, say, after you had cut out the box piece but still needed to engrave the unicorn on it, here’s what you could do: Put some cardboard or draftboard, etc. in your machine inside the engravable area and choose the material (or set the height, if it’s a non-PG material). Set the unicorn to “ignore” and enter cut settings for the box piece, and cut it out. Then leave the main piece of cardboard in place (it’s now your jig), and without moving it, insert the box part into the cutout you just made. Set the material back to whatever the box is made of, “ignore” the cut line, and engrave the unicorn.
Here’s a more thorough treatment of the subject: Alignment