Are you saying that if you use the direct select tool and hold down the shift key and select several anchor points you can't move them with the arrow keys?
I certainly can without any problem? It maybe that the increment that they are being moved at is smaller than you would prefer and you can change that in the Preferences.
Also unlike photoshop if you select multiple points in AI you can than drag one of them and the other selected points will move as well.
If you need more support for manipulateing path look at the Astute plug in Vectorscribe.
I should have mentioned if you hold the shift key down while using the arrows they will move in a much larger incement.
I correct myself if you use the direct slect tool in Photoshop the anchors move all together as well.