Shift-clicking single notes doesn't create the blue border around it; copy-paste only copies pitch, not attributes.
OS: Windows 10 Home (Version 10.0.18362 Build 18362) x64 processor
Musescore Version: 22.214.171.12460
Case 1: Shift-Clicking on a single note.
1) Shift-click on one note - observe if the blue border is created around the entire note.
2) Copy the note. Paste it on a rest (try one that has a different duration).
3) See if the note only pastes pitch - no other attributes are kept.
Case 2: Shift-Clicking on a single note within a chord.
1) Shift-click on one note within a chord - observe if the blue border is created around the chord.
Steps 2) and 3) are the same as Case 1.