Found this in the help file, which is good, because now I know next time I run into this problem:

Select multiple adjacent events
Use this procedure to select multiple events that are located next to each other.

Hold the Shift key and click the first and last event that you want to select. The events, including those between the selected events, are highlighted.

To select all of the events in the project, choose Select All from the Edit menu.

When you have finished selecting events, release the Shift key.

What I notice playing around with it:
- You may have to click end events in each track

Once you have them selected, you can group them.