There are three lists internally:
Instance list
New list
Sol list
By default the sol list will be the instance list, which you then filter. When you create an object it's added to the new list and the sol is set to it. The pick all sets the sol to the instance list and since the new list isn't added yet those objects aren't picked. Then at the next "top level" event the new list is merged into the instance list.
You can search the forum for "top level" for some more discussions/explanations of this. In one of the change logs had a fix where before "pick all" would pick the new ones too. This was fixed to prevent cases of infinite loops.
Alternatively the pick by uid can pick objects from the new list. It's the exception to the rule.