Why the heck DOESN'T eM Client have a multi select feature? If it is available Im not able to find.

Is there any possible way to multi select mail to deleate easily? Or I have to go to each email to do it. Which is not pleasant.

Control + Left click to select non-contiguous emails or Shift + left click to select contiguous emails.

Is that what you mean?

You can also use Shift+Down Arrow  or Shift+Up Arrow.  Just like windows