You use the standard computer selection methods that have been around forever.

select 1 message and then press control+a = select all

click on message 1 - move up or down several messages and hold the shift key while clicking on message 2 = selects message 1 and 2 and all in between

hold the control key while clicking random messages = selects any message clicked on

hold the control key while clicking a selected message = deselect that message

Well done Airmail - I've been trying to discover how to make multiple selections since... well I won't embarass myself. No need now for heaps of awkward message filters!