When you are doing a bulk product assignment of products to a group, you need to make sure that you after you click the Select All checkbox, you click the blue link that appears directly underneath, before clicking the Save Product Group button.

When you first click the 'Select All' checkbox it will only select the 5 products that appear on the current page of the search results. 

In order to select all the products in your search/filter, you need to click that blue link. 

Once clicked, you will see that the number of products select goes from 5 to all the products in the search. 

Then when you click Save Product Group, all the products from your search/filter will be assigned, instead of just 5 from the first page of the search results.