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One suggestion I have to speed up the process in Tableau Desktop is to click on the first value of the list, and then holding SHIFT, click on the value at the end of the list. This should highlight all values between the two clicks. Then select the check box to the left of the one of the values to exclude or include it from the data set.
I am doing some additional research and testing on this behavior when it hits Tableau Server. I think it is expected behavior, but I am looking for some additional clarifications behind the design.
Thanks, Patrick. This is very helpful, hoping there is a similar feature in the Server version! I also noticed that the server version doesn't display as many selections in the drop down as the desktop version does. If I have a drop down of client name, and there are many that share a similar name, the desktop will still display all clients that match, whereas the server will only display maybe 30-40