In the editor hierarchy selecting multiple GOs and (shift-click) and dragging them on to another GO (and release mouse) moves (re-parents) only one of the selected GOs.

1. Open new scene.
2. Add 1 sphere.
3. Add 4 planes.

In the Hierarchy window:
4. Select the 4 planes (shift click)
5. Drag on to Sphere - and release mouse.
6. Observe 1 plane is nested under the Sphere while 3 planes are not moved.

(Tested on mac 3.5)
I expected all the selected GOs to become children of the GO they were dragged on to.