A collect all feature is something we requested for a long time, they the Devs had looked at solutions in the past. Unfortunately their previous attempts had resulted in such a game performance hit that they felt it was not worth even worth putting on the test server. I was mildly surprised when this appeared, while we get a bit of a wait I feel it's comparable to queuing a few thousand recruits in the barracks and does appear to be faster than collecting/deleting each mail one at a time.