It seems it is not possible to iterate through multiple selections. So now instead I do it after every single selection:
procedure TForm1.AddCurrentSelectionToImageCollection;
begin
var BM := TIEBitmap.Create;
try
ImageEnView1.CopySelectionToBitmap(BM);
ImageEnMViewImageCollection.InsertImage(0, BM);
finally
BM.Free;
end;
end;