It will be completely selected, including the linefeed/cr.
But you must click the line-number part of the gutter. Otherwise it will set a breakpoint.
You can click anywhere in the gutter, if move the mouse while you press the button. I.e select multiple lines. (Opitons: "Extended")
You can change this. There is plenty of config.
Menu: Tools > Options.
Dialog/Tree: Editor > Mouse
You can change even more in the advanced settings.
All this is in 1.6 and 1.8.