This might be intentional, but it doesn't seem to be documented. It's possible to use the 'all' tag when adding an action, not just a filter:
add_action('all', 'myaction');
However, the function will be called for all filters as well as all actions. Unless the function behaves like a filter and returns its argument, all kinds of things will go wrong as it merrily NULLs the result of every filter.
Possible solutions might be to run 'all' separately for filters and actions; prohibit 'all' actions; or keep the behaviour as-is and document it.
FWIW, an 'all' action can be useful for debugging.