1. Search->Goto, type in a number of a changelist with multiple files
2. Try to shift-highlight multiple files - you are not able to
Note, you can individually highlight a single file, and get it, but you cannot highlight multiple files, so changelists with 20 to 500 files you cannot get this way. You have to go to the submitted tab, and scroll down to that one changelist, find it, and get the revision from there.
I would expect to be able to shift-highlight multiple files in the Goto dialog box in order to get multiple files, instead of having to right-click on each individual one (not practical). I believe this was the case in P4Win.