After you make the selection, click and drag on one of the objects in the selection and the whole bunch will move as one. If you click in the empty space between the objects, you lose the selection, as you've discovered, and if you click on one of the handles, you'll reshape the selected objects.
Have you watched the video tutorials? I would recommend watching them, then reading the manual.
http://www.omnigroup.com/products/omnigraffle/videos/