The files where you get the "sticky-note freehand figure text-box image" menu are image based files; there is no actual text to select. You would get this menu if you pressed in the whitespace area of a "normal" PDF.
An easy way to tell if the PDF is text based or not is to select "Text Reflow" from the display view menu. If all you get is "this page has no text" (or if the text you are trying to select disappears), then it is image based and you cannot copy or highlight it.
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