In emacs, the region is delimited by the point (cursor) and the mark (some previous position of the cursor, which has been "marked").
Thus, to "select a region", you need to place that mark, then move your point around.
The easiest way to place the mark is to press
C-SPC. Then just move the cursor around, you'll see the "region" extend as you do.
To "deselect the region", you can press
Since "shift+movement" is a common keybinding in other software, by default, it emulates this "select region" behavior. However, it doesn't work in terminal, because shift cannot be sent to emacs as a modifier key.
Note that generally, the
C-SPC method is much more powerful than other methods for selecting a region: you are not limited to up/down/left/right for movement (you can use search for example...), and it doesn't require that you maintain an uncomfortable key combination for a long time.