You cannot make 2 selections at same time. There is always only one selection possible. The command Select Range is for making a rectangular selection.
For selecting something from current caret position to another line simply hold Shift key (left or right doesn't matter) while clicking with left mouse button on the new caret position and UltraEdit selects everything from previous to new caret position. That's a Windows standard selection method.
Also Windows standard is holding Shift key while using Right/Left, Ctrl+Right/Ctrl+Left, Home/End, Up/Down, Page Up/Page Down, Ctrl+Home/Ctrl+End to select characters right/left, words right/left, everything to begin/end of line, lines upwards/downwards, multiple lines upwards/downwards, all lines to top/bottom of file.
If Column - Column Mode is enabled the selection using the standard methods are made rectangular.
Making a rectangular selection without explicitly enabling first the Column Mode can be done also with holding Alt+Shift while clicking with left mouse button on new caret position.
Please note that holding left Alt+Shift and releasing those keys without making a mouse click results in switching the input language (keyboard language) for the current application only if you have multiple input languages (keyboard languages) installed which is Windows default for all countries except United States of America. If you never really want to use a different keyboard language, you should delete all keyboard languages except the one you really use to avoid switching the input language by mistake in Windows Control Panel - Region and Language.
Further UltraEdit offers some special selection modes which cannot be found in other applications.
If you execute Search - Goto line/column, bookmark or page and hold Shift while clicking on button Goto, UltraEdit selects everything from current caret position to the new caret position. Also holding Shift while executing Search - Bookmarks - Next Bookmark by click on the menu item or by hotkey selects everything from current caret position to the next bookmarked line.
And if you execute a Find and hold Shift while clicking on button Previous or Next results also in selecting everything from current caret position to begin/end of found string. This Find + Select method with holding Shift works also with the commands Search - Find Next and Search - Find Prev executed by clicking on the menu items, toolbar symbols or by hotkey. (Find + Select with hotkey works only if the combination of the assigned hotkey (usually F3 and Ctrl+F3) with Shift is not assigned to another command. In other words using F3 for Find Next and having Shift+F3 assigned to another command results in execution of the other command instead of executing a Find Next with making a selection.)
If there is already a selection, this selection is updated accordingly by expanding the existing selection or removing it and creating a new one depending on current caret position in which direction the new selection is made.
Summary: Holding Shift is what turns on selection mode.
PS: The Shift keys are the large keys on left/right of the keyboard which when pressed results in typing a letter in upper case. These 2 keys have usually a big UP arrow as symbol.