In the path grid edit mode, you cannot select normal objects. The only objects that can be manipulated are path grid objects.
To add a grid point, right click on the location in the render window. The point will appear at that point. Path grid points are always placed on surface. They are never placed floating.
To move a grid point, select it with the left mouse button. As long as you hold the button down, the grid point moves with the mouse. You can then use the "F" key to make it "fall" to the ground if necessary.
To add or remove a link, select a point with the left mouse button. While holding down the "Ctrl" key, select another grid point. A link is made. If a link already exists, it is removed.
Grid points can also be added with a link automatically placed with the previous grid point by holding the "Ctrl" key and right-clicking on the point where the grid point should appear.
To create blue grid points, hold the "Alt" key while creating the point.
To toggle the blue state on and off for a path-grid point, hold the "Alt" key while clicking on it.
To create orange grid points, hold the "Alt & Shift" keys while creating the point.
To create a "linked path point" activate a grid point and press "R". This opens a window where you can can select the reference you want to link with the grid point.