Note: The following is a guest post by Tableau Zen Master Mark Jackson.
I have no idea how long you've been able to do this, but it is something I recently figured out.
For a long time, it has frustrated me that there is no "select/deselect all" button on the action dialogs in Tableau.
Apparently you can CTRL- or SHIFT-select multiple objects and check them all at once. Observe the magic: