Is sonic select a manga?
No, it is a series of graphic novels.
In sonic mega collection doing the level select cheat for sonic and knuckles how come you can't play the levels on the left side?
Sonic 3, in any incarnation apart from the lock-on game Sonic 3 and Knuckles, does have a level select code. When the Sega logo fades, quickly press up twice, down twice and up continuously (an minimum of three times is required). This should take you to a level select screen. This is notably difficult, possibly the most difficult level select on any Sonic game.
In Sonic Advance, you can get Tails to follow Sonic. To do this, go to the character select screen, make sure Sonic is selected, and then press Up, Right, Down, Right, L, Right, R, Right, A. If you did it correctly, you will hear a ring sound after the regular select chime sound. He can also follow you in Sonic Advance 3, but you can play as him too.