It actually depends on whther you have 'Highlight element contours before selection' checked in the 'Selection and Element Information' panel of your Work Environment.
If you don't have it checked, ArchiCAD 11 will behave as it did in AC9.
If it is checked, I think you'll find just tab works on it's own to cycle through the (pre-selected) elements. Shift tab is used to cycle through and add selected elements to the existing selection, which isn't quite the case with dimensioning.
And once the dimension is placed, you can use the same pre-selection highlight to determine what the dimension is associated to. In the Arrow tool just hover of the node and see what is highlighted shortly after.
Cheers,
Link.