So that might be a bug, but why are you highlighting the line? You only need to place your cursor anywhere in the statement - assuming you're using statement delimiters.
As for the bug report, I'm not able to reproduce. As soon as I hit up arrow, the cursor moves up a line and the selection is 'lost'.
Agree with Jeff. The only way I can reproduce anything related to this if the single line query is the only line and I try pressing down or right arrow. This would make sense as those directions are not valid.