Hello Stan, 

Thank you for contacting Infragistics. The behavior you are seeing is similar to multiple row selection works within the grid records/cells and to be expected. Holding down the shift key is the only way to extend multiple selection you already had outside of drag selection. Left-clicking will be treated as starting over unless you hold down the shift key. You can trap when and if the shift is pressed in the BeforeSelectionChange to decide if you want to extend or start a new selection by hooking the BeforeSelectChange event. Keep in  mind that you aren't going to be able to easily manipulate the selection in this event, and I don't recommend canceling unless you are certain of the user commands to invoke a new selection. 

eg. The following example cancels any new selection on a single left click. However if you already have multiple selection a shift press won't invoke a new selection. You have to click and drag down using the left mouse on the row selectors. The sample attached below ensures a single row via left clicking won't deselect any previous multi-selection. I mainly tested this only with row selectors. Let me know what you think. UltraGridSelectedRowsContextMenu.zip

 bool trippedFlag = false;
        private void ultraGrid1_BeforeSelectChange(object sender, Infragistics.Win.UltraWinGrid.BeforeSelectChangeEventArgs e)
        {
            UltraGrid grid = sender as UltraGrid;
            var selected = grid.Selected;
            
            if (Control.ModifierKeys != Keys.Shift && e.NewSelections.Rows.Count == 1 && selected.Rows.Count != 0)
            {
                trippedFlag = true;
                e.Cancel = true;
            }
            else if (trippedFlag == true)
            {
                e.Cancel = true;
            }
           
        }