The transparent selection feature is quite useful in MS-Paint and is the only reason I use that program at work to assemble quick mockups of designs for presentations. What would take hours on photoshop and gimp ( taking time to de construct everything into it's own piece with transparency on it's own layer/folder, which is great for large projects) takes mere minutes when using MS-Paint and paint.net, especially when working in agile.
The main issue here is that by default when you're working on a layer in Paint.net and make a selection, it grabs the entire image's pixels instead of only those from the selected layer. This feels weird when you're used to Photoshop or Gimp. Because of that, it feels like each layer in Paint.net is an instance of MS Paint... So of course there is a mismatch between what you're expecting and what you get.
I recall someone saying that Paint.net has all the features of MS Paint but that's simply not true and you can see it in the main toolbar at the end of the selection tools options list.
YES ! That's part of the problem.
Paint.net deals with selections like MS Paint does except it also wants to use alpha as a main colour channel, which is wrong for many reasons. Because of that you get weird behaviours by default with selections that make no sense for most users.
There are other tools which either don't have the default MS Paint behaviour nor, because of how layers work, the Photoshop/Gimp behaviour.
For example, the pipette and fill tools don't work as expected out of the box. You have to tweak their options to get the MS Paint behaviour on a per-layer basis and to avoid destroying your work on background layers unlike in Photoshop where each layer is "protected" from the others.