Yes. Multiselect is possible. If follow the tiny boxes left of your documents name, you will find a similar box in the header below Add Filter, that will select all the visible documents. (Since list view will be limited to 20, 50 or 100)
However you must note the user must have permissions to delete.
Also, submitted documents cannot be deleted rightaway. They have to be cancelled, which again requires permissions.
In case the submitted document is linked to another document downstream,
e.g. Sales Order --LINK--> Sales Invoice --LINK--->Payment Entry
Then Sales Invoice cannot be directly cancelled. You get a message like this :-
