Hey miffy, consider running "java -jar space-hunter-fullscreen-mode.jar" instead of "java jar space-hunter-fullscreen.mode.jar". I made two small batch files for both fullscreen and window mode. Just execute the "run.bat" file.
For the selection bug you are getting, is your Java up to date? Also someone have mentioned before but if you have a different keyboard than the QWERTY layout, try the letter at the very bottom left (above the left alt key and to the right of the left shift key. It is originally Z on a QWERTY layout and Y on QWERTZ.