I'm using Notes 8.5. I'm not sure what you mean by "...I can't hold down shift...". I just discovered this following method after reading your question, after searching for an answer to the same desired action.
Select the last e-mail from the sender whose e-mails you want to delete. I just found out you do not even need to make a check mark on this e-mail. Next we're going to go to the last e-mail from that sender.
Click on the Who column, which sorts, which you're familiar with. The latest e-mail should be on top, and all previous (older) e-mails should be underneath.
Using the mouse, scroll down using either the down arrow, or point first to somewhere under the scroll button, and click and hold, and be prepared to release quickly. [Using the scroll button does not scroll the screen at the time you're dragging the button, unfortunately, which I hate, and some other applications behave this way too - I like the ones where the contents actually scroll when dragging the scroll button.]
Once you've found the last e-mail from the desired sender, hold down a shift key, and select the last e-mail, and they should all have check marks added to them. I thought we needed to make some check marks manually, but we don't.
Press the DELETE key and you should be happier.
Regarding the answers from rhsatrhs, I've been using their first method for years, works great, and is almost as fast as it can be done. What usually happens, though, is you will also put checks next to a few more e-mails below the desired ones, and then you de-select those, which is no big deal. If you scroll/mark about 10 at a time, then that's not as much of a problem. My method, which surprised me that it worked, is just a little faster, because you can scroll faster, and it will only mark the desired e-mails.
Using their 2nd method, however, I can't get any subsequent marks to appear. And for me the definition of "select" means to have that rectangle-line around an e-mail (whether bold or not), and only one can be "selected". I think by "select" they meant mark, or select and mark. In any case, using 8.5, if I both select and mark on the top desired e-mail, then hold Shift and scroll down, none of the other e-mails get marked...all that happens is the window scrolls down.