Well, in the COS if you have the messages set to 100 per page, then you should be able to click on top/bottom message, scroll to the opposite end, and click and select the messages.
If you have more than 100, then you may need to select them in groups of 100s.
I don't belive there is currently a way to select all messages when you have more than 100.
Perhpas you should fill out a bugzilla request to display all messages on one page
http://bugzilla.zimbra.com/
Good luck,
jh