When enabling the "Select Message" option a square is shown to the left of the messages. By selecting on the square, each message will stay selected. They do not have to adjacent to each other.
The problem is that if you miss the square, all selected messages become unselected. It would be useful if the messages would be selected if the line was selected (or at least the message itself).
Basically, make the option more forgiving if you don't exactly select the square.