Without any conditions, all objects are picked. So when you say "sprite -> subtract 1 health", it's saying "subtract 1 health from them all".
But once a condition is added to an action, it starts looking for an individual instance. So when you say "Sprite health ≤ 0", it's asking "if you find one Sprite with health ≤ 0, do [this action]". It'll pick out one random instance of Sprite, and apply the action to it.
So "For each Sprite" means you want all the instances that meet your conditions, not just one random one.