Funny because CMD isn't doing anything on my Mac. In other words if I click the first file then shift click the last they all become higlighted (with ticks in the boxes). Holding down Cmd (the Apple Key) then clicking on an image just un-ticks all the boxes not one individual box.
Hold down command to toggle the selection state of a photograph, not of its individual box.
So, for example, to select only photos 3 to 10, 12 to 15 and 20 for import,
- click "check none"
- click on #3
- shift-click on #15 (to select from #3 to #15 inclusive)
- command-click on #11 (to deselect it)
- command-click on #20 (to select it)
- click on the checkbox of any of the selected photos (which will check the box for every selected photo)
Whether or not this is a good idea I leave to you to judge!