There isn’t a simple way to do this right now, but that’s a great idea. For now, using a separate control (e.g. a RadioItems for all or none) might be the best option.
I would just like to add one of the great things about the Dash multi-select over the Bokeh multi-select is that you can search!
In one of our applications we have a multi-select where the user chooses about 4 to 10 items out of list that can be greater than 200 items. This hasn’t been a problem because the user knows what they are looking for and they use the search functionality to quickly find what they need.