Seriously, it's just that non intuitive. In the beginning I thought it was perhaps because I was used to C4D, but after that episode, I realised some things in blender simple don't make sense for someone that thinks in objects the mathematical way.
On a side note, I started 3D with POV-Ray many years ago, and, although not having a UI, at least the text description of the scenes was perfectly intuitive... I just can't reach that point with Blender.
How to do what you wanted:
Shift-A Cube Shift-A Cube G to move second cube(assuming you don't want them stacked) Shift right click to select other cube Ctrl+P select Object to parent one to the other(you would use Keep Transform if you wanted to keep them together but move/scale/rotate separate)
Look in the Scene graph on the right, they're still separate objects so you can assign different materials to their faces, unwrap, un-parent them with Alt+P, whatever.
If you wanted to merge the geometry, you'd use Ctrl+J to join them.
In Blender terms, you probably wanted to create a “parent” (typically an empty) for your objects.