Hey EisWiesel,
I just tested this issue in a new blank project using 4.9.2 and 4.10.2, which are our more recent engine releases.
Matching Material Selection
I have found there are a few ways to select all with matching materials. You can select a BSP and press the Shift+T command, you can select the BSP and choose the Select > Select Matching Material under the Geometry section.
You can also use the right click menu, as you are showing in your example post.
Both of these worked correctly for me in either engine version. Try testing this out in one of our newer releases to see if it is working correctly for you there.
Thanks,