Hello @jfjacques,
There are a couple ways around this problem, but I'm not sure it's ever going to match your favorite other software, whatever it is. I don't like the scene explorer as much as the old list view, and I disable it. The selection floater is the same as list view though (but always active), so I mentioned it below.
1) First, selection sets are a great way to go, I use them so much it's almost second nature now.
2) Second, the Selection Floater UI is a fast way to filter objects, I have a post about it here. You can hide various objects very quickly and then unhide them. At first it may seem clunky, but after a bit of usage it's amazing. (To me.)
3) Some practice with the hit targeting might be needed. Let's say you're in the top view and you have a sphere nearest the camera with a light underneath it. As long as your mouse is actually over the light (but the sphere is in the way) you have 1 click to go down 1 level. The first click selects the sphere, the 2nd click selects the light. (Don't move the mouse during this time.) Takes a bit of getting used to, but it's great imho once you are used to it. I think a lot of people don't get how this works, so the move the mouse a bit which resets the list and get all frustrated. I've been there.
4) Last, you can use Window Crossing for small things like cams and lights. There is a bug or two in there, but it works overall.
Please try some of these things and see if any helps for you. I get it, at first Max seems weird and foreign but after a while you get into a groove and it's really nice.
EDIT: Formatting.
Best Regards,