Also, using Emulate 3 Button Mouse on Windows, while using Left Click Select, prevents you from using this Shortcut. Double Clicking an Edge, can then be used.
On Linux and Mac, you can use the OS Key instead of Alt, to Emulate 3 Button Mouse:

and when using Right Click Select the shortcut is ALT+RMB, so that still works even with Emulate 3 Button Mouse.