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.
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.