any way to do this from the UI.
Selection only works on one window at a time. Selecting shapes one one
page then changing page or document will lose the selection.
aka lets say I wanted to change line with of all shapes on many pages
if you have Visio 2003 then you could create a macro.
start a macro recording
perform the tasks to select all shapes on the page
change the line width
stop recording
execute that macro on each page
or
write some vba to do the task.