To cancel what you're calling "selection mode" from a zsh zle widget, it is:
zle set-mark-command -n -1
or if you prefer:
What zsh supports comes in mostly emacs and vim compatible forms. Text between the mark ($MARK) and cursor ($CURSOR) is highlighted. Documentation also talks about the region (emacs) or visual mode (vim). The typical behaviour that you get with Windows programmes is not especially powerful. You'd be better off learning how vim or emacs does things but a Windows style selection could be mostly emulated if you replace a few widgets. e.g. self-insert would need to clear the selection before inserting text. The main limitation is that the selection will need to always either begin or end at the cursor.