Sensitivity is how "good" a scanner can pluck a weak signal out of the air.
Selectivity is how "good" the scanner is at isolating that signal against adjacent signals on nearby frequencies.
Think of it as sitting in a crowded room full of people talking. Sensitivity is how good you can hear someone on the other side of the room when they whisper. Selectivity is how good you can make out what they're saying when 15 other people are talking at the same time.
This can be VERY important if you're in a major metropolitan area where there's lots of activity on adjacent frequencies to the target frequency you're monitoring. If your scanner/receiver has poor front-end filtering, strong off frequency signals can "bleed" and cause what's referred to as "intermod" interference. Commercial equipment (Motorola/Kenwood/Etc.) is usually substantially better filtered, confined to a single band (VHF Hi, UHF, 800, etc.) which makes their receiver much more selective and sensitive, and isn't affected as much as a wide band scanner/receiver is.
If you're interested in monitoring weak signal stuff (Satellites, systems that you're on the fringe of) then sensitivity is important to a degree, because obviously weaker signals require a much hotter receiver to sniff out.
As you've likely gathered, a receiver with good sensitivity but poor selectivity is a recipe for disaster. In an RF rich environment, I'd much rather have superior selectivity than sensitivity. In suburban areas, or remote areas, sensitivity is the name of the game. You'll also note some scanners have built in switchable attenuators that can help with these RF rich / intermod situations.
