Looking through the code, I’m not sure that Avo2 will generate the density matrix from the orbitals if it’s not reported. (I’m adding that to the TODO)
For other reasons, I wanted to do this with Python and it’s fairly easy to do with Orbkit:
From a command-line:
orbkit -i file.molden.gz --otype=cb --adjust_grid=5 0.2 -p 4 # generate a cube file for Avogadro, etc.