Are you sure you’re not confusing the select tool (arrow cursor) with the range tool (I-beam cursor)?
Double clicking (shift or not) on an event with the select tool will open an editor window, using the range tool it will (should) become selected.
working here. double click the first (leftmost) event with the range tool (=the range is selected across this event); then shift+double-click the rightmost event you intend to range-select, to make the range extend from the leftmost event right across this rightmost event.
(or is the shift possibly modified in your prefs/modifier keys?)