It's more an easy way to pick a few friends, not all of them. It can be hard to remember who is on my list, when I need a few to help with an SB.
On mobil I get a list of all friends, then I can set mark in the ones I want to send a message too. It may only be a few I want to send to, sure not all of them.
I can do it right now, but need to log off the PC client and use my mobil phone to send the message.
I don't see why it should not work on PC too.