To select multiple emails in Outlook Web, you can use the same methods as in the desktop version. Additionally, in the web version, you can check the box next to each email to select it.

Although good for the sender, it can be confusing for recipients as the email you forward will show two ... remain the same, they come with a new interface. For that, Open the new Outlook app ...

but the steps remain the same. Moreover, the latest Outlook app on Mac is the latest Outlook app on Windows as well, but in beta. Selecting multiple emails in any of these versions is a breeze.