This century it hasn't happened:
2001: Won
2003: Semis
2007: Final
2008: Final
2009: Semis
2010: Semis
2011: Final
2012: Semis
2014: Final
2015: Final
Yet in the last two years as an NCAA lock but with a double (triple?) bye, BYU has (1) lost in its first WCC Tournament game, and the (2) got taken to OT in its first WCC Tournament game.