I tired that originally and it did not work. The issue was that I pressed shift before clicking. After testing, MS paint and Photopea both support clicking shift before starting the selection to create a circle. Krita does nothing if you hold shift before selecting. I don't have PS right now so I don't know what that does. Seems unintuitive to me.
Haven't used Gimp in a long time, but try holding down ctrl, shift or alt while doing the circle (or rectangular for that matter) select.
One is for aspect ratio, one is for center from starting point and the last I cannot remember.
IIRC the same goes for combining selections: modifier keys can be used to add, subtract or make intersections.