Where would the option be? When viewing a category? Such as check boxes there?
I would add the feature this way -
when viewing a page in a gallery instead of having the delete link show under the thumbnail I would use a check box. At the top of the page I would add a select type box so you could choose to delete all images on the page or just the ones you selected. Also I would make the delete all option check all the boxes for you. - less work on the users.
I have seen this feature before in other gallery programs and was surprised you all did not have it. I just thought it was not included on the SMF Gallery light version that I tested.
Since I'm doing feedback here is another issue I would like to see fixed -
FTP Batch importing - I can do about 500 images at a time. I have done as may as 800 images, but the server system does not like it. I would suggest letting users know this is the top limit they should try importing at a time is 500. I'm not saying that you can not do more, but I expect that most server company's have a set amount of CPU usage on importing images using php. So unless you own your own server your not going to get around this problem. I am currently using godaddy and they are as main stream as you can get in servers.
The man problem I have is that the ftp batch importing wants to display a thumbnail image of every image I uploaded to the SMF Gallery FTP file. It's not until I have to scroll all the way down to the bottom of the page before I can even select a category and the attempted creation of thumbnails gos away. I would suggest you have a option in the admin section where the displaying of thumbnails in the ftp import section can be turned off. Also I would suggest that you move the select a category feature to the top of the page. Remember this is batch importing and the user does not need to see the image.
Hopefully this feedback will help you all improve SMF Gallery.