Hi @Anonymous ,
To do this with galleries:
1. Insert a blank vertical gallery and a checkbox in the screen:

2. Insert a checkbox inside the gallery and adjust to template size to make it look a little more aligned:

3. Set the Text property of the checkbox outside of the gallery to:
$"{If(Self.Value, "De-s","S")}elect All"

4. Set the OnSelect property of the Checkbox outside of the gallery to:
UpdateContext({locSelecteAll1: Self.Value})

5. Set the Items property of the gallery to connect to your data. In the below example I used a Sequence function to generate data, but this should be connected to, for instance, a SharePoint list or Dataverse table:

6. Set the Text property of the checkbox inside the gallery to reference the attribute (column) you wish to show. In the below example it is the Value column, but this can be any viewable column in your data source:

7. Set the Default property of the checkbox inside the gallery to refer to the variable that is set in the OnSelect property of the checkbox outside of the gallery:

Now you are at the point where you can check multiple checkboxes inside the gallery and, using the checkbox outside of the gallery, (de)select all:
MultiSelect:

Clicking "Select All":

Clicking De-Select All:

8. To now make these into cascading controls, copy all controls to the same screen:

9. Change the OnSelect property of the right checkbox outside of the gallery to:
UpdateContext({locSelecteAll2: Self.Value})

10. Change the Items property of the right gallery to be filtered, based on the selected items in the left gallery:

11. Set the Default property of the checkbox inside the right gallery to match the variable for that side:

12. Repeat steps 8-11 for as many cascades as you need.
The selected items in each gallery can be referenced using:
Filter(
<GalleryName>.AllItems,
<CheckBoxInsideGalleryName>.Value
)
Please beware that the "Select All" function only works for the first 100 items in the gallery. To select more, the user first has to scroll down to the bottom of the gallery for it to load the next 100 which can then be selected using the same mechanism.