Official comment
Thanks for your feature request! We'll leave this up to see if more people want it changed.
It's actually designed to uncheck prior selections when you move to the next page. This prevents accidental actions to contacts you can't see on the page you are working on, such as sending the wrong email to them, deleting them, etc. (We actually copied this behavior after requests to make our system more like Google Contacts and others who follow this same technique).
But, we are always open to change and willing to reconsider our choices if there's enough demand!