How to do same behaving in Sublime Text as in Visual Studio, when using column selection for example if there is a line break in a text, the cursor in Sublime go to beginning of a line

And this is behavior in Visual Studio desired behavior

Thanks
While you may want this functionality for other reasons, it seems like you are using it to adjust the indentation of code blocks. Fortunately, there is a much easier way of doing this. Select the text for which you want to change the indentation, then press Ctrl] to increase the indentation (move block right), or Ctrl[ to decrease indentation (move block left). You can also increase indentation by selecting the desired lines and hitting Tab, and using ShiftTab to decrease it. The one place I can think of where multiple selections would come in handy is if, for some reason, you need to indent/dedent by fewer spaces than are in your tab stop. For example, if I have some code that's indented 3 spaces, and I want to change it to 4 (using the Indent Using Spaces setting in the View -> Indentation menu), I would use a multiple selection to put a cursor on each line, then use Space or Backspace to adjust spacing appropriately.
Ctrl-[orCtrl-], right? You don't need to do multiple selections at all...