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After insert an expression entry, if a write something and press the arrows, I don't see any highlighted region. The characters just become italic (I suppose this is because they are selected). I have to press the right button "Sel" and then I can see the highlighted region.
But if I understand correctly, just by pressing the arrows I should be able to select the expression, right?

I'm not sure I understand the issue. If you enter something in the expression editor, nothing is selected, you have an insertion cursor. Pressing the up arrow key should select the current expression, then arrow keys should move the selection.