yeah.. there recently was a long discussion about it when I posted it as a bug: viewtopic.php?t=178366
Basically, newly created objects get added to a "new object list" and aren't merged into the "instance list" until next "top-level event".. However, a newly created object forces the SOL to consist of only that new object..
Anyways. rexrainbow created a plugin that allows you to easily pick all the objects: http://c2rexplugins.weebly.com/rex_ginstgroup.html
I agree that this stuff should be explained thoroughly in the manual if it isn't in it.