You are right, there is no direct possibility to select word under cursor. You can partially replace ith with 2 editor commends: _ecWordLeft_ and _ecSelWordRight_, but it will mark all up to begin of the next word.
I will add command to select word into scripting -- <http://forum.pspad.com/read.php?2,62128,62129> PSPad freeware editor http://www.pspad.com
