All tracks being auto selcted when applying effects?

Yes, you’re using a very old version of Audacity which has a peculiar feature enabled by default called “Select All if None Selected”, which means that if you don’t have an audio selection, then Audacity automatically selects the entire project.

In the current Audacity 2.3.0 version, if you do not have an audio selection and try to apply an effect, Audacity just reminds you that you need to make an audio selection first.

Audacity 2.3.0 is available via the Audacity website: Audacity ® | Download for Windows