Hi Shannon,
We currently have an opened feature request for adding a HeaderTemplate for the GridCheckboxColumn and I see you already voted for it. Having this in mind, I will now mark the current request as a duplicate of the initial one. You can follow it (in case you haven't), so you will receive email notification on any status update and thus you can easily keep in track with the status of this enhancement.
Once this template is implemented you will be able to provide custom content in the header of the GridCheckboxColumn and implement the desired behavior.
As for the Select All functionality, it has indeed a bit different behavior when OnRead is used - in this case Current and All will share the same behavior - the current data set (page) will be selected only, as this is the only available data. You can find this specifics listed here.
Regards,
Nadezhda Tacheva
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