Pressing control will allow you to add the sane range twice. This is by design. (Without this, it would be difficult to add two different ranges that intersect using the control key).
If you do not want this behavior, then you can handle the SelectionChanging event (Model.SelectionChanging in GridDataBoundGrid), and cance the selection if it is a control-click into a selected cell.
private void gridControl1_SelectionChanging(object sender, GridSelectionChangingEventArgs e)
{
bool ctl = (Control.ModifierKeys & Keys.Control) != 0;
if(ctl && e.Range.Height == 1 && e.Range.Width == 1)
{
if(this.gridControl1.Selections.Ranges.IndexOf(e.Range) > -1)
e.Cancel = true;
}
}