Can't seem to select multiple units by mouse dragging but it looks like it can be done from gameplay videos

You have to hold down the Ctrl key (at least in the DOS version; the Mac version might use a different key).

If you don't want to have to do that, you can try the background utility that I wrote that holds it down for you (and adds other conveniences): https://www.gog.com/forum/warcraft_orcs_and_humans/warcraft_mouse_helper_utility_for_improved_mouse_control

Cntrl or Shift? For me Cntrl isnt work in dosbox-win version.

In the GOG version, which I believe is the CD 1.22h version, holding Ctrl while clicking and dragging draws a selection box and holding Shift while clicking on a unit adds it to an existing selection. If you're using them correctly, could it be that you're using a different version of the game or a different DOSBox release?