This is the answer I gave in the JFreeChart forum:
It is not implemented in JFreeChart 1.0.17, but this feature has been implemented in the JFreeChart-FSE ("future state edition") project on GitHub:
https://github.com/jfree/jfreechart-fse
There has not been a release from this repo, but you can build it from the source. Feedback is welcome, I have not had time recently to work on this but I would like to get a release done from this repo some time in the coming months (my aim is to have JFreeChart 2.0 in 2014). The lasso selection came from some code that I wrote some years ago now, but Michael Zinsmaier from KNIME.org has done a big chunk of work to structure this and the dataset selection state.