Trying to figure things out in a game is fun! Trying to figure things out on a website is a sign the UI sucks.

Learn it in a game, then use it on a website. It's a UI convention, not merely a quirk to a multi-select list.

Modifier keys are used elsewhere optionally on operating systems. But no other form control demands knowledge of modifier clicks. It's simply a useless bit of UI and should not be used.