[Dave McCrea]

The directions provided by itsme are spot on.  If you've hidden the floating toolbar, go to Settings->Library Settings->Show Floating Toolbar to turn it back on, as that's where the select all button is.

EDIT:
As a side note, if it's more intuitive to long press a checkbox that is not checked to select all, and vice versa, I could add that feature easily.

Thanks.  

Now that I know about the magic little Floating toolbar, why not have use it on the Collections Tab when assigning "Unassigned Songs" to a particular collection?

Now the tiny double left arrows "move all"to the Collection being edited.  Seems unintuitive to have 2 ways of doing the same thing. Could "Select All" and have a "Move" or "Add" item in the top menu bar.

Dave