Hello,
When members of a group do not fit on one page of the Members section, and you can select any member of a group, the Select all objects on all pages option appears at the top of the page. It allows to select all group members.
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However, you will not see this link if all group members fit on one page. In this case you will have to select them one by one. I've added a point to our TODO list to always show this option.