I just figured out my problem with "Digital Photo Professional" (Canon software which converts CR2 (raw) files to jpgs). If software hasn't created the thumbnail yet, the file can't be selected.
So if you click on the first photo, then shift click on the last photo, it looks like it selects all, but actually it only selects the photos that it has had time to load. Then you batch convert them to jpgs and wonder why you only have one photo of the flying trapeze.
This also explains why the "select all" button is greyed out.