According to a tutorial I should be able to select more than one object by holding down the Ctrl key. But this doesn’t happen, is there a setting somewhere to turn this on or off?
If you hold the Ctrl key down, it should make multiple selections in DS4 in the Scene tab at least. You can select one, miss out a few, and then select another by holding down Ctrl. To select all from your first selection, to another selection lower down, and select all in between, use the Shift key.
This is the default behaviour. If you have changed anything in Customize you may have lost that.