In MAX you can just click and drag out a selection box, too. It will include in the selection everything the box touches. You can also use CTRL+Click to add to a selection set, but this is not working quite the way it's supposed to at the moment. To get it to work, click the first object to select it, CTRL+Click the second object. The first will deselect and the second will be selected. With CTRL still depressed, click the first object again and it will now be added to the second as a group selection. You can now keep CTRL depressed and keep clicking to keep adding to the selection.
This issue has been reported on GitHub (that the first CTRL+Click doesn't work properly), so hopefully it will get fixed soon-ish.
Intel i9-10900K 5.10GHz, 64 GB RAM, Nvidia GTX 1080 ti 11GB, Windows 10 64-bit, dual monitor display