A little more information would be helpful. I'm assuming you're familiar with how query select works in WF. This isn't your first foray into WF from 2001, right? Does everything work fine in WF3 or WF2? Is the pre-highlighting working? If so, what happens when you RMB? If not, is it turned off (Edit -> Select -> Preferences)? What is your filter set to (in the lower right corner)?
The fix appears to be "you were doing it wrong." In WF3 you can click and hold with LMB and cycle through the available selections with RMB. You can also mouseover entities and use RMB without LMB to cycle through. In WF4 only the latter method works; Doug brought up that this is the method supported by documentation.