From this user's perspective it is an improvement and perfectly logical and consistent with many other applications.
You have not actually made the selction until you release the mouse button than, and only then, doe sthe selection become available for playing.
In contrast does anyone seriously expect to use the DELETE key in Audacity while they making the selection rather than after they have fnalized the selection? Earlier versions of Audacity used to allow that too. Or indeed effects could be applied while a selection was in progress if one had assigned a single key shortcut to them.
My belief is that this new behaviour makes Audacity safer.Non-Audacity use case:
Does Word of Excel enable you to say bold or delete parts of text while you are in the middle of making a selection. No thay don't you have in those to complete the selection and then effect the command.
For this users that need adjustable selectuon playback we do have the Timeline Quick-Play functionality. See this page in the Manual.