Hi Andy @AeJax,
You cannot Edit different types of Objects (like Meshes, Curves, Grease Pencils Objects) at the same time.
Why could Paul do that then, you ask… Fair question. Paul can’t do that either, but he has ‘doctored’ (Photoshopped?) the footage; it’s fake:

In the Outliner, you can see that only the Grease Pencil Monkey is Selected and in Edit Mode.