Thank you for posting your query onto the Forum.
To do like this in Power BI there are 2 options available under the “Selection Controls” option -
Multi - select with CTRL or
Show “Select All” option. By enabling this you can select all the items at the start and de-select the items which you don’t want to show as result.
You can turn off all the options and then select the multiple items. The only difference between option 2 and 3 will be you won’t be having the “Select All” Option therefore you’ll required to select all the items manually.
But what you’re trying to achieve using the Shift option is not applicable in Power BI.
I’m attaching the screenshot below for the reference.
Hoping you find this useful.
Thanks & Warm Regards,