With multiple objects selected, setting a key only affects one object. It should affect all selected.
When someone wants to key the rotation on multiple objects, keying all the selected objects should be the default.
"User selection" is a clear indication of intent. So, when a user has multiple bones selected, we should key them all by default.
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But that's the behavior by default?
Unless you set up a keying set and one of the objects selected is not part of in in some way, or doesn't have the property you are trying to key. But that's outside of "by default".