In ArcMap, you are able to use select by location in multiple layers. In ArcGIS Pro, you are only able to use this tool on one layer at a time.
It looks like the Select Layer by Location geoprocessing tool works exactly the same in ArcMap and ArcGIS Pro. What is referred to above is the Select by Location functionality in ArcMap that allows the user to choose multiple Target Layers:
In ArcGIS Pro, choosing Select By Location from the Map tab > Selection group opens the Select Layer by Location tool:
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