It is working the way any multi-select dialog works. It isn't going to make arbitrary selections because you could, for example, select an image on page 1 and then you may want to select a second image on page 3. So it isn't going to make arbitrary (new) selections on pages as you go.
In the Full Page Editor, the only way it would be slow is if you have "all images" selected instead of "thumbs/small images" under the "view" option.
Regards.
Mike