When selecting with Alt key in the Editor, the column-selection works as it should, but it triggers the menu navigation and puts the focus on the menu navigation, just as pressing the Alt key alone would normally do. We thus need to press Esc in order to return the focus to the editor.
EDIT
I had forgotten about the GitHub page... Turns out this issue has been pointed out 2 years ago: Multiline selection no longer functioning · Issue #12470 · rstudio/rstudio · GitHub