Joan, InDesign can only do contiguous text selection, as you've already discovered. Whether that's a weakness is a matter of perspective. In any case, the solution to your problem is Nested Styles.
Just watched a video on it and it looks do-able. Thanks for taking the time to reply, John.
John is right.
However, I advise you to take a look at HighlightGrep, [JS] written by Roland Dreger, with an amazing "Live Mode" option that allows you to see the result of a research (before launching it, of course) while you're building your query … simulating your "selection".
… and, as john said, may be finish the deal with nested styles !