I have discovered an easier method that does not involve the keyboard and is similar to the old mouse only method.
This is tested on El Capitan 10.11.6 Apple Mail.
Quick Double click on the first message while simultaneously moving the mouse cursor down (or up). This will select multiple messages without having to use the Shift or Command key.
You may need to practice as the action requires finesse as the message selection, double clicking and mouse down/up movement has to happen basically at the same time (if it is not timed right it will only open up the first message).
Real credit goes to my customer who asked me this question after switching to a new machine, I said it could not be done, but he discovered the method anyways through persistence.