Hi Mark,
You can add "Select all" button to your data grid and than create an action button Delete with a custom microflow behind it.
In this microflow you put a list as parameter, in my case of type person, and than you add a Delete action to your input input list.
In case you want to delete everything in your datagrid datasource, but not all are shown on one page because of paging, you could create a custom microflow where you retrieve the same dataset as your datagrid datasource and than delete this list.
Kind Regards,