I found out that the SelectFeature control only works for one layer. I looked at the code, but I did not find a reason why.
I made an example to show this behaviour at
http://dev.openlayers.org/sandbox/ahocevar/selectFeature/examples/gml-layer.html
By default, SelectFeature controls are active on both the MultiPoint and the MultiPolygon layer. To see if it works just hover over the vector features. As you can see, only the MultiPolygon control works. It was added after MultiPoint. If you use the MultiPolygon button to deactivate the MultiPolygon control, then the MultiPoint control works.
If you deactivate the MultiPoint control too, there is also an interesting behaviour: the mouse cursor changes when hovering over MultiPolygon features.
Feel free to play around in the sandbox. I would really be glad if this could be fixed. Unfortunately, I do not have a clue what might be wrong and so I cannot do it myself.
Thank you!
Andreas Hocevar.