This applies to the PSReadline module. You can configure it using Set-PSReadlineOption, by default:

$ (Get-PSReadLineOption).WordDelimiters
;:,.[]{}()/\|!?^&*-=+'"–—―

I don't quite understand: How do these delimiters fit the above example where the selection switches between Temp... and File '.\Temp...? Shouldn't they rather switch from Temp... to \Temp..., then .\Temp... etc.?

How do these delimiters fit the above example

At first I thought you were unhappy with the word separators.

The word is selected up to the next delimiter, depending on the direction of selection, the previous delimiter is included in it.. This is how I understand the selection algorithm. Write them issue, their repo is not belong this one.

Ah, I see. I created PowerShell/PSReadLine#5023 now.

Thanks for pointing me!