Well, it's explained in the manual , but:
It's used mainly when controlling more than 1 lasers. When this button is checked, all the settings in Drawing attributes panel are applied on ALL virtual devices, e.g. when I control first laser using virtual device 1 and second laser using virtual device 2, when I move with brightness slider, brightness is changed on both lasers.
It's very good also for changing position of all the lasers - nice effect.
Also when you change fader by checked "Control all devices", fader is changed on EVERY virtual device!