It's usually helpful to mention which version of PPT you're using.

That said, thanks for the video. That's PPT 2007, I'll assume Beta 2.

And *that* said, it actually looks to me as if the shapes are all being
selected. Which ones aren't? If you're referring to the Elbow Connector and
the Scribble, they do the same thing here -- they don't look like they're
selected once I move my mouse away, but they really are. Try just clicking
them and then clicking and dragging on your slide. With the scribble, you'll
get a pencil cursor when you're on the slide. (Scribble doesn't really work
right in Beta 2, though.) With the Elbow Connector, your arrow cursor will
become a crosshairs.

So I'm thinking it's just a matter of the visual selection indicator not
working right.