Are you talking about the level editor or the event editor? I don't really get what you mean, but you can select multiple sprites in the level editor by shift+left mouse clicking. You can also unselect stuff exactly the same way.
You might be confusing something or you haven't noticed the shift modifier.
Edit: Oh, right, you must've meant the actual sprite locking. My bad.
Edit 2: Okay yeah that's exactly what you meant, makes for a nasty problem. I didn't find a way around it either now that I looked into it.
Edit 3: Well, you could try arranging your stuff in layers and lock the layer instead, I'd expect it to be quite useful but then again I don't know what you're doing.