In the “Dynamic Components Training” collection, there is a “Basic Shelving Unit” that works correctly. (But the only things in the selection set are instances of the same DC component definition.)
Have a look at how that works and compare to your component’s attributes.
(By the way there have been code snippets posted in the past that will add a “Select all instances” context menu command.)
I started a bug reporting thread here (but time has shown that it takes 2…3 years on average for bugs to get fixed.) …