Well, for whom it might interest, I found a solution.
I ended up with preselecting an edge, and then find all other edges in that direction. It only works on edges in x/y/z direction(what I needed), but could easily be modified to edges running parralel in the same plane as the preselected.
Here is the code. Raw, unpolished, with danish comments and without errorhandling etc.
' ******************************************************************************
' Selects all edges with same direction as the preselected one
' (works only in x/y/z direction)
' ******************************************************************************
Option Explicit
Sub main()
Dim swApp As SldWorks.SldWorks
Dim swModel As SldWorks.ModelDoc2
Dim swSelMgr As SldWorks.SelectionMgr
Dim vEdgeArr As Variant
Dim vEdge As Variant
Dim swEdge As SldWorks.Edge
Dim vCurveParam As Variant
Dim dirOK, dir1 As Variant
Dim dirVek(2) As Variant
Dim Bodyarr As Variant
Dim Body As SldWorks.Body2
Dim Edgearr As Variant
Dim EdgeGood(10) As SldWorks.Edge
Dim bRet As Boolean
Dim swSelData As SldWorks.SelectData
Set swApp = Application.SldWorks
Set swModel = swApp.ActiveDoc
Set swSelMgr = swModel.SelectionManager
'Find den ønskede kant-retning
Set swEdge = swSelMgr.GetSelectedObject5(1)
vCurveParam = swEdge.GetCurveParams2
dirVek(0) = Round(vCurveParam(0) - vCurveParam(3), 10) ' afrundes da der er kans på 17 decimal!
dirVek(1) = Round(vCurveParam(1) - vCurveParam(4), 10)
dirVek(2) = Round(vCurveParam(2) - vCurveParam(5), 10)
If dirVek(0) = 0 And dirVek(1) = 0 And dirVek(2) <> 0 Then
dirOK = 1 'Z
ElseIf dirVek(0) = 0 And dirVek(1) <> 0 And dirVek(2) = 0 Then
dirOK = 2 'Y
ElseIf dirVek(0) <> 0 And dirVek(1) = 0 And dirVek(2) = 0 Then
dirOK = 3 'X
Else
MsgBox ("Kun kanter der løber i x/y/z retning er supporteret

")
End
End If
swModel.ClearSelection2 True
Bodyarr = swModel.GetBodies2(swSolidBody, True)
Set Body = Bodyarr(0)
Edgearr = Body.GetEdges
For Each vEdge In Edgearr
'swEdge.Display 2, 0#, 0#, 0#, True ' debuging
Set swEdge = vEdge
'swEdge.Display 2, 1#, 1#, 0#, True ' debuging
vCurveParam = swEdge.GetCurveParams2
dirVek(0) = Round(vCurveParam(0) - vCurveParam(3), 10)
dirVek(1) = Round(vCurveParam(1) - vCurveParam(4), 10)
dirVek(2) = Round(vCurveParam(2) - vCurveParam(5), 10)
If dirVek(0) = 0 And dirVek(1) = 0 And dirVek(2) <> 0 Then
dir1 = 1 'Z
ElseIf dirVek(0) = 0 And dirVek(1) <> 0 And dirVek(2) = 0 Then
dir1 = 2 'Y
ElseIf dirVek(0) <> 0 And dirVek(1) = 0 And dirVek(2) = 0 Then
dir1 = 3 'X
Else
dir1 = 0
End If
If dir1 = dirOK Then
bRet = swEdge.Select4(True, swSelData): Debug.Assert bRet
End If