Currently, it is no possible to select all segments with one click. A checkbox at the top would be needed.
Update - 7 Feb 2019 - this has now been delivered with Studio 2019 SR1 CU2 - see https://gateway.sdl.com/apex/communityknowledge?articleName=CUs-Studio2019SR1 for more info.
Earlier feedback:
This is a duplicate of https://community.sdl.com/ideas/translation-productivity-ideas/i/trados-studio-ideas/shortcut-to-select-all-shown-segments-in-one-go - please vote there to make your vote count. Thanks!
Currently, it is no possible to select all segments with one click. A checkbox at the top would be needed.