I bought the AOE DE about 2 weeks ago and I’ve been trying to do the multitask thing you could do back in AOE 2 where you could build a Barracks and then press shift and place an Archery and the villager would respect the order.
When I try to do this, the villager will build the last building instead of the first one I order to build.
You can use shift key though to place multiple buildings of the same type very fast, because the villager will continue automatically working on other buildings nearby. If you are really fast and would switch to e.g. barracks using keyboard all the buildings are within the villagers radius should be build. If you do this with 10 villagers at once and while they are working take little groups and place with shift new buildings again in range of the working villagers radius you can build up even faster. But you are right, it will always start with the last building placed.