Shape Paths Disappearing

If the ellipse isn't pixels, then you can rasterize the shape in the Layers panel. To rasterize the layer, right-click on the layer to the right of the thumbnail and the name of the layer, and select Rasterize Layer from the contextual menu.

In the future, you can change what type of content the Ellipse tool makes in the Options bar (Window > Options). With the Ellipse tool selected, the dropdown menu gives you the option to set to Shape, Path, or Pixels. You can set it to Pixels to make content that you can select with the Lasso tool.

Could you please post screenshots with the pertinent Panels (Toolbar, Layers, Options Bar, …) visible? 

Did you definitively create a Shape Layer (edit: what are its Fill and Stroke) or maybe just a Path? 

@mjmew 

• Use the Path Selection tool (black arrow) to select the entire path
• Use the Direct Selection tool (white arrow) to select one or more anchor points, or part of a path (use Shift to select multiple)

Both use the shortcut "A"

Jane

Are you using an elliptical path, or an elliptical marquee selection? The Lasso tool does not work on shapes.