You may ask why its not there yet ....
I started with it, but it turned out that the whole selecting thing is very performance hungry, so I first improved the current selecting process.
For me its much faster now! I got a speedup from 2 to about 25 fps render speed when handling lost of units and having the selection rectangle open.
( lots of units for my hardware are ~600 units in the field ). Other people with onboard graphics are for shure very happy with this new selection!
Understanding all these selection things ( its done in OpenGL ) took some time, so I think this feature is delayed for next version now.