Because of the way SelectNonAlpha() works, it produces a non-vectorial selection (i.e. a selection represented by a bitmap, rather than a path of vertices).
It is rarely practical to convert a bitmap into a vector.
To determine which pixels are selected, you can use IsPointInsideSelection, e.g.
procedure TForm1.ImageEnView1MouseMove(Sender: TObject; Shift: TShiftState; X, Y: Integer);
if ImageEnView1.IsPointInsideSelection(X, Y) then
memo1.Lines.add(format('%d %d is selected', [X, Y]));