I have learned some more on this. Still thinking about it a lot. Not sure if the OP has solved this, but it would make a huge difference if I could get it working.
If only put 1 enter after the SELECT command then the selection ends after the macro. Then I Click PSELECT button and type P and enter. My theory was that it would repeat the command and just "work". In the end the 3 enters gave the same result as 1 so I guess I just left it!
The default button in LT issues the PSELECT command (as opposed to SELECT), but when I type it in command line or use it in a custom macro, LT returns "Unknown Command". It seems that if the PSELECT command worked in LT then problem would be solved. But it does not, and as you say, SELECT will not leave it highlighted.
A script is an interesting idea. I have only used scripts to open and plot jobs on mass, usually calling AutoCAD to open and close each time. I have never called one from within a macro. Is it likely to be able to leave a selection set "selected" so to manually make changes to its properties before escaping the selection?
I am not certain what changed, maybe my code improved, but more likely AutoCAD 2013 allowed this. In any case, this macro is in LT 2013 and the selection set stays selected after macro is finished, allowing editing on properties of selection directly.