First of all, that particular example will never work. Sins will not let you select combat ships like light frigates and non-combat ships like a colony frigate together, because this is usually accidental. You should really order all of your non-combat ships independently of your battle fleet.
If this is occurring even with only combat units, see if your alt key is jammed, I think that's the key that lets you select all units of a particular type when you click on one.
