Utilizing Connect Boards column have to click each individual item - can we get a select all option? Or the ability to click top item box, hold down shift and click last?
Amber here from the Boards team at monday.com 
Could you please tell me more about your use case here?
Let’s say Board A is where you are setting up the connection (looking to connect it to multiple items on Board B).
What do your items on Board A and Board B represent?
Does it make sense to go to Board B rather and batch action select all the relevant items and select the connection to the Board A item.
Feel free to share as much information to help me understand your workflow to better understand why this might be important functionality for you!