Hi,
With the Sprite Set (form) active if you go to the "Sprites" menu item you should see "Select All" at the top.
You can also use SHIFT and the LEFT button to select any range of sprites and change their colour/mode all at once.
PRG files can be loaded as any binary file, the two byte load address will be detected and skipped.
I don't think I added a specific ".PRG" filter but you can just use the "Any file (*.*)" filter to see PRG files.