When setting up your control groups, a lot of newer players confuse the use of CTRL and SHIFT.
With buildings or units selected, hitting CTRL+# completely overwrites everything previously saved on the control group and replaces it with everything you have currently selected.
With buildings or units selected, hitting SHIFT+# adds what you have selected to the list of buildings and units saved on the control group.
So when it’s time to set up your initial control group, be sure to use CTRL. And when you’re adding to the control group, be sure to use SHIFT.
Holding CTRL and left clicking a unit or building will select every unit or building on your screen. This is a great way to select all of your Marines or High Templar that are un-hotkeyed and add them into your army control group (by using SHIFT+#).
Holding SHIFT and left clicking a unit or building will select or deselect it from your selected units. This is a great way to send one unit to a watchtower (as fully described in a previous Tip of the Day).
Hope that helps clear things up for the newer players out there!