In the latest Next, you still cant select and drag, or shift click to select start/end to select multiple lights to be removed (especialy if you have a bunch that was deleted in the scene). Please can we have proper functionality here expected from such lists
For the moment, your best bet is to use the ‘Select by layers’ option.
You can create layers (i.e. named as the VRayLightSelect elements) with your lights, which you add to the VRayLightSelect pass. Afterward, you may remove lights from the layers, rather than from the render element.