I have never used the option in the schematics which you have described.
In Altium 16 the PCB selection is the same, maybe something is wrong with your settings or with the particular project. If you are not getting the selection window, what happens with the object? Is just the top one selected? What about the other ones below?
Here you can see information about the new features:
http://techdocs.altium.com/display/A...ltium+DesignerAltium 16 definately feels nicer to me. If you don't need to pay too much for it, it is a no-brainer to get it in my opinion. You can always keep 15 in case you need it for something. I don't see any advantages of 15 compared to 16 - just a very specific one. If you have a private Altium vault, in Altium 15 there was a nice filter with check boxes which used to allow more flexibility when searching a group of components in the vault. This is a very specific feature though and not many people use it at all. Apart from that, I don't miss anything from Altium 15.
EDIT: I just noticed that maybe you mean the 16.1 update specifically. I don't think it brings any really important features compared to 16.0. The most noticeable one is the introduction of Draftsman, which I tried for 10 minutes and realised it is quite crap at this stage. Probably they will make it better in the future.