I completed @escrafford mapping with insert mode’s ones:
" shift+arrow selection
nmap <S-Up> v<Up>
nmap <S-Down> v<Down>
nmap <S-Left> v<Left>
nmap <S-Right> v<Right>
vmap <S-Up> <Up>
vmap <S-Down> <Down>
vmap <S-Left> <Left>
vmap <S-Right> <Right>
imap <S-Up> <Esc>v<Up>
imap <S-Down> <Esc>v<Down>
imap <S-Left> <Esc>v<Left>
imap <S-Right> <Esc>v<Right>
Also mapping usual copy/cut/paste like this you can return to insert mode after select+copy, for example.
vmap <C-c> y<Esc>i
vmap <C-x> d<Esc>i
map <C-v> pi
imap <C-v> <Esc>pi
imap <C-z> <Esc>ui
Now you can start a shift+arrow selection from any mode, then C-c to copy, and then C-v to paste. You always end in insert mode, so you have also C-z to undo.
I think this approaches more to the ‘expected standard’ behaviour for a text editor yu are asking for.