Don't know about 'Video Pro X' (although I'm guessing it should be the same in this respect) but I've never seen this on any version of Movie Edit Pro so far as I can remember. Playback should continue as you select objects, until you stop it.
Try restoring defaults and restarting the application.
FWIW, I get quirky behaviour fairly often in MEP and sometimes I can fix it by saving the project and restarting.
I am using Movie Edit Pro MX Premium which as Terry said is pretty similar to Video Pro X, the biggest difference that I know of is the license that comes with Video Pro X allows for commercial use of many of the features and Movie Edit Pro has some restrictions. I too cannot create your situation, so Terry's suggestion to restore to the "default" settings would be where I too would start. At least now you have confirmation from two different sources saying that no, this is not common or normal.
Just to be sure I quickly loaded a short project I'm currently working on in VPX4, started playback and then clicked on an object much further along the timeline: playback continued as normal.
I also checked this behaviour is the same if you are in the "Scene Overview" screen.
Agree with Jeff - also does not make any difference if Move playback marker when selecting object / Move play cursor when object is selected is checked or unchecked - tested in MEP MX, 2013 and VPX4