Why so difficult to erase multiple message on Mac?

I tried many time to erase the multiple message. The Apple help says as press Control to select a message, then press Command to select the multi. Then, when I right click, the all multi messages I selected , the color changed back again and nothing happened. As the result, I have to erase one by one. You should give more easy system such as select 1 and click shift for multi, then, should give the DELETE on the menu (again, when I right clicked, the multi option voided and nothing done). Why you have to click control, command and then, nothing happened? Could you give more easy way?