We've discussed adding deletion of articles when deleting a collection and are hesitant to add it. Articles can be used in many places and it would be easy to either accidentally delete something used elsewhere, or have a confusing delete sequence where you get warned about content used in other places. I don't expect we'll add article delete from collections any time soon.
While we don't have select all we do support shift-click for multi-select.
+1 on deleting all articles when deleting a collection. I've mentioned this on other threads before. It can restricted to users with admin roles who should know full well what happens when you delete articles and how the system works. The Dashboard can provide one of those dialogs that asks the user "Are you really really sure you want to do this?"
+1 on the "Select All" button. I've been advocating the addition of a "Select All" button for a while now. Shift clicking works but I agree scrolling down to select a large amount of articles is a pain, and there is no indication that the shift-click functionality is even there. Users have to find out about it here in the forums.