Hey there! Here's a little context for this request:
PDF functionality (including the PDF tool in exports, the PDF receipts add-on, Annual receipts add-on, etc) all use an open source library (TCPDF) that generates the PDF on the fly, so when the donor (or site admin) clicks the button, the PDF is generated and downloaded, only to live in the browser of the downloader. It’s not on the server of the site at all (in terms of storage).
So when people want to download all of them at once, what they are asking for is “can I generate hundreds of PDFs simultaneously, without crashing the site? "
The answer is “probably not.” So we didn’t build in bulk functionality at all, because it would only cause trouble for the vast majority of our users who are not on top-of-the-line hosting.
Even for those users, WordPress itself doesn’t have a great way to handle background processes, so it might be unnecessarily complex and impossible for all of them.
That's not to say we'll never do it, just that we'd have to see a ton of intereste in order to pursue it, because it's not a small feature.