Well its kind of completely illogical. I mean why would you create a
text file named after the selected text in the quick search box???
Also I tried highlighting text from other windows in VS like the code
editing windows (open documents) and the search results windows (Find
Results 1), Output, etc, and using the key combination and it doesn't
work there. So why does it only work with the quick search box's
selected text and not any other area? If this was a feature it would
make sense for it to work in other areas too right, especially since
it makes more sense to have it in those areas too.

But anway who knows, its there in the quicksearch box and it can be
used if required :)