Are you talking about one particular filter or all the items in several quick filters?
Regardless, asymmetry in the check/uncheck behavior of the "(All)" item (the automatic one provided by Tableau, not a data item named "ALL") sounds like a bug that should be reported to support.
I have 7 or 8 quick filters, intending that the filters cascade. Selection in 1 will limit the relevant entries in 2 etc. The All check, uncheck seems to work fine for the first couple of levels and then quits working and manually checking/unchecking is required.
I'm a new tableau user and was hoping I'd overlooked some setup. How do I report a bug?
Well, it may or may not be a bug in cross-filter relationships. Cascading quick filters in a faux-hierarchy like that can be tricky, and sometimes it doesn't work like you expect. The thing to remember is that Tableau doesn't actually understand that your different fields are related in any way. The "(All)" item, when clicked, puts the filter in a "use everything" mode -- but it will also display as checked when you've simply checked everything in the relevant domain (without touching the "(All)" item). In the latter case, when more values get added to the domain they are not checked.
If you're still not not sure or think that the behavior is inconsistent, you can use Help -> Contact Support or email email@example.com and they can look at your workbook and tell you for sure.