There isn't a method to make selection antialiased.
Anyway you can smooth the selection setting:
// set selection depth=8 (8 bit) instead of 1
ImageEnView.SelectionMaskDepth := 8;
// now make a selection (here a rectangle in code)
ImageEnView.Select( 10,10, 100,100 );
// now make the selection feathered
ImageEnView.MakeSelectionFeather( 4 );
However this is not exactly an antialias, but can help.