What version of Spine are you using?
The Select checkbox definitely shouldn't become unchecked by itself. If it does, it's a bug, but it's not something we've seen recently. It could have been a bug long.
The only way to uncheck Select for all bones would be to select them all and uncheck it. There is no hotkey to do that.
When the Select property of the bones is changed, it could get added to the undo state, so that would explain why undo can get you back to having Select checked. In the latest code the property is set very few places and there doesn't appear to be a way for it to be set when it shouldn't be.
