Are you talking about the "NULL" checkbox in the picture below? This is by design. This checkbox will appear in the report preview when you select "Allow null value" in the parameter properties.
If you want to add the "all" option, then you can select "Allow multiple value" in the properties. When the parameter available value is "get values from a query", the "select all" option will appear in the parameter drop-down list of the report preview.
For another way to add the "all" option, you can refer to this blog: https://dataqueen.curiousmind.ca/2011/06/how-to-default-to-all-in-an-ssrs-multi-select-parameter/.
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Best regards,
Aniya