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Below shows exactly why it can't be done...
First step was to select:
Search: Paul's letters (Rom -- Hebrews)
That would eliminate the need to search for Romans in the Range:
Second step was to cut out Hebrews from Paul's list, without having to search for Philemon:
Range: Select Philemon
Results: will not include Hebrews
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As for the image; I have not been able to duplicate the original image, so I have no idea why 'Paul's letters (Rom -- Hebrews)' remained visible after I selected Philemon.