I was reading this article today, haven't tried it, but I think this is what you want...
Credit to original author: Ben Sullins.
a different guide >> Tableau Tip: Adding an “All” filter option to a string parameter
Credit to: Andy Kriebel
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To add onto this (Just wanted to give another option).
You can add an 'All' option to your parameter and then create a calculated field that always computes to true. This is very similar to Andy's approach
Parameter Filter =>
[Parameter] = 'All'
OR [Parameter] = [YOUR DIMENSION]
Simply drag that onto the filter shelf and select True (It should be your only option, unless you have created options in the Parameter that do not exist in the dataset OR is not ALL)
Thanks a lot
The only reason I use this method, as opposed to Andy (It's practically the same), is that I am lazy and don't like to type as much....