Since Blend 1 (and when it was still Interactive Designer), I've never been able to select multiple keyframes, other than using Shift + Click on them one by one, its definitely an issue.
Now that you've brought it up, I've tested it out in the Expression Blend 2.5 March Preview, and nope, you can't drag and select multiple keyframes, not only for Silverlight 1 & 2 apps, but also for WPF applications.
Definitely an area the Blend team should look into.