SEL or Select mode is a Pentax focus mode that allows you to select which point to focus on out of the available focus points. Auto mode is on the other hand going to select from the available focus points(11 in the case of the K10D) whichever it feels is the best using the TTL phase-matching system(SAFOX VIII) and the subject. A third option is available named center, and all it does is select the center AF point.
As far as I know, the Pentax K10D does not use any type of area AF system. With that said, if you did see multiple focus points light up, it is probably just telling you that they are both in focus currently. SEL mode is only really activating one focus point at a time, so it is assumed the rest are turned off and will not light up at all under that mode.
If performance is truly different as in "missed shots" while not moving the camera or subject, but just by flipping the focus mode, then you have a issue that should be looked at by a Pentax repair center.
To resolve your issue, simply select AUTO when you want all points to be active, and SEL when you want to select a single point outside of the center(use center for that).