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On macOS and Linux it's Shift-Option. That also seems to partially work on Windows but then right/left caret movement fails, which I suspect is a bug.
You can also use the key bindings listed in the Edit > Selection Mode sub-menu to change into different selection modes.
Or, for the above example, you could select the first DEBUG: and then use Edit > Multiple Selections > Add Selection for Next Occurrence (or the key binding listed there) to create multiple selections and then hit Delete to remove them all.