Cost History Report under the Classic Experience allows for "Select All" when filtering fields that allow for more than one selections, for example "Months".
Cost History Report under the New Experience (NX) does not include a "Select All" option when filtering on these same fields.
This has been reviewed by our Product Team as an improvement to NX Cost History Reporting and will be placed on the roadmap for future implementation.
Currently there is no ETA on when this update will be released.
For more information on building reports under NX Cost History please see Viewing Cost History