I want to pay your attention to this Support Center ticket describing a recent fix for our ASPxGridListEditor, which is a wrapper over the ASPxGridView component as you know.
It is a known and pretty logical Server Mode limitation that the selection of ALL grid rows using the built-in SelectAll check box is NOT supported in this mode. That is because this particular operation defeats all server mode benefits = causes loading the whole data source into the web server memory...
Our ASPxGridListEditor did not manage the "Select All" header cell visibility prior to v16.2.4. We have corrected this mistake and now this button is hidden in server mode by default (SelectAllCheckboxMode = None). The "Select All" button is still available in Client and DataView modes only (SelectAllCheckboxMode = AllPages), though.
If you want, you can implement a custom Controller from the ticket to enable selection of all records on the currently active page only when DataAccessMode = Server (we did not follow this route in the XAF code, because it would be more confusing and even damaging for users who got used to this command). Alternatively, you can set DataAccessMode = Client/DataView for a required ListView node using the Model Editor (of course, it you do not have many data records).
If these solutions do not help, please describe your real life use-case scenario where this SelectAll feature is needed when grid is operating in server mode. It is possible that we have an alternative and even better technical solution for you, e.g. like we did for Reinhold and his reporting scenario.