It sounds like you're using thishttps://www.pcmag.com/article2/0,2817,2488072,00.asp
And it looks like you're not the only one who's had this problem.
Check ***here in Microsoft forum***
to see if any of the suggestions are appropriate.
One person claimed
If you click on the first email in the list then hold down the delete key it gets rid of all emails really quickly.
and more specifically
Sue means hold down the Delete key on your keyboard once you have clicked on the 1st e-mail. You do not have to check the box.
however, as pointed out in that thread, there is the risk of accidental deletion with this method.
another user says
Just by accident I found out that if you select the first email you want to delete and then hold down both the Ctrl and shift keys together and keep them down you can then sellect other emails you want to get rid of. When you have finished selecting release the two keys and then press your delete key.
and someone else claims it was patched
Happy to note it appears Microsoft has addressed this issue in a recent update. I'm not sure which one since there have been quite a few after the last major one. But you can now select multiple emails for deletion/moving with ctrl+a or holding down shift as long as you are not in selection mode. You can also deselect/select individual emails with ctrl.
You can click on enter selection mode. Whatever you're on inbox ,bulk mail or etc click on it located above the messages. Before you delete you can scroll through to see what you might want to save. Afterwards hit delete and all messages are deleted.
Some people are claiming it still doesn't work though.
Leave it to Microsoft to make something that should be really simple into something complicated -- just to be "different" or "modern" I suppose.