The option to save multiples scenes into a new video is now possible with the steps below.
Steps
1) Select the scenes you wish to save as a new video by holding the Cmd/Ctrl key and clicking on the scenes in the timeline. Selected scenes will be outlined in orange.
2) Right-click on any of the selected scenes and choose the option to Save as New Video:
3) The scenes will copy over to a new video and the option to open the video in a new tab will appear to click at the bottom of the current video:
4) After clicking View In New Tab, the scenes chosen will appear as a new video: