Isnt there a toggle option where it selects all currently seen??? or is that just for messages?

A quick and dirty way is to append ?limit=50 to the end of the URL to show 50 entries at once. There's an "All" checkbox that will select all the users on the current page.

There isn't an option to delete all unvalidated users because you will delete users who have just registered, which isn't usually desirable.

the secret to finding all the correct answers is to be inquisitive (very!)
and sometimes have nothing better to do but browse elgg stuff @here ;-)
http://community.elgg.org/plugins/1181949/1.1/login-reminders
will do what you want automatically !@;-X

Love the ?limit=50 idea! exactly what I was after.