I adapted the following from a workaround posted by JNeo on 4/16/2010 at 11:14 AM at http://connect.microsoft.com/SQLServer/feedback/details/249227/multi-value-select-all-parameter-in-reporting-services
To get a null value instead of the full list of all values when "Select All" is chosen:
1) Add a multi-value parameter "MyParam" that lists the values to choose.
2) Add a DataSet "ParamCount" identical to the one used by "MyParam", except that it returns a single column named [Count] that is a COUNT(*) of the same data
3) Add a parameter "MyParamCount", set it to hidden and internal, then set the default value to 'Get values from a query', choosing "ParamCount" for the Dataset and the one [Count] column for the Value field.
4) Change the parameter for the main report DataSet so that instead of using [@MyParam], it uses this expression:
=IIF(Parameters!MyParam.Count =
Parameters!ParamCount.Value, Nothing, Join(Parameters!MyParam.Value, ","))