Edit - All Level Select allows you to select single-layer select mode or multilayer select mode. Clicking on All Level Select will toggle the mode. If this item is turned off, the mode is single-layer select. If it is selected, indicated by a check mark in the menu entry, the mode defaults to multilayer select.
Single-layer select means that only objects on the layer presently displayed can be selected.
In multilayer select mode, all the objects on all levels of your circuit will be selected when you click on them or lasso them, not just the objects on the presently displayed level.
If a layer is complete, and you wish to avoid inadvertent changes on it while in multilayer select mode, you may wish to lock it through use of the Levels page in the View Options dialog box.