The user experience is a bit inconsistent for a number of reasons:
1) We can apply some bulk changes through the right-click menu and others only by changing the selection in the columns (assignees, labels, statuses).
2) Which changes we can apply depends on how the actions are "selected" — by checking their boxes (which will make the full row appear in blue) or by left-clicking and "highlighting only title cell in blue":
a) some right-click menu changes will apply to actions that are selected by left-clicking the first and SHIFT + left-clicking the last in a row = "highlighting title cells in blue" (e.g. you can convert all actions selected this way to subactions, but you cannot mark them as complete).
b) Changes in columns (assignees, labels, statuses) only apply to actions with checked boxes.
However, checking the boxes of many actions is pretty cumbersome as you need to check each box individually (with one click, you can only multi-select subactions by checking the box of the parent action).
It would be great if we could add individuals actions to "selected = highlighted title cells in blue" actions by CTRL + left-clicking them and, on the right-click menu, check the boxes of all "selected = highlighted title cells in blue" actions so that we can apply bulk label changes, etc.