The Select menu shows you the structure of the document from the caret position out. It allows you to select more or less of this structure. The actual contents of this menu will change depending on the contents of the document and position of the caret.
You can also use F11 to select out through a structure and Shift-F11 to select in. Each press of F11 selects the next item in the Select menu for example from Paragraph to Section body whereas Shift-F11 goes the other way, for example from Document body to Section.
The Select menu can also be accessed by clicking Menu on the Selection indicator.
Clicking Select on the Selection indicator selects the next item.
Clicking Adjust on the Selection indicator selects the previous item.