If I entered into a multicursor / multicaret mode by pressing alt + up / down arrows, I would expect that Home and End keys would take me to the beginning or end of every single line while maintaining the multicursor mode. Instead, the mode falls back to single cursor mode.
Here I have recorded a screencast of what happens:  And here the expected behaviour (using Atom): 
There is an important distinction, Geany does not have a multi-cursor mode, what you are using is a _rectangular_ selection, it has to stay rectangular, so it can't be moved to the end of lines like the atom one since thats no longer rectangular.
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