I have not used the dbgrid with multi select in awhile, but before you just set row select to true and multiselect to true and You could CTRL click to select multiple rows, it still does that but when I also select the option to use any button to select that when the odd behavior starts.
With the any button to select enabled if I right click it it selects it as if I did not have the multi select enabled i.e. the grid indicator icon stays the solid black icon and not the icon that appears when you single click while in multi select mode. The issue is any code that uses the selected property does not work as a selected bookmark is not set.
I also tried doing some code in the onmouse down and same deal.
I hope I am explaining this correctly.