By the looks of it that ribbon button defaults to whatever option from the drop down list that was used last, or the first in the list if it hasn't been used yet. I can't find any way around this, however if you are using All Borders command a lot and want to be able to quickly access it then try adding it to the Quick Access Toolbar instead:
- Click File -> Options
- Choose Quick Access Toolbar and then filter by All Commands
- Find the All Borders command and press Add