I found several solutions for this problem.

The easiest is to assign a separate house code to all the devices you want to switch on simultaneously. Then you can send All Lights On to this House Code.

An other solution is to build a macro (for example in a CM11a). When it receives A5 ON, the macro sends A1+A2 ON. The drawback is that it's a bit slower.

An other solution is to buy X10-2 lamp modules for www.x10-hk.com. These modules can respond to several (up to 16) addresses at once.

Eg:
- Lamp module 1 responds to A1 + A4 + A5
- Lamp module 2 responds to A2 + A4 + A5
- Lamp module 3 responds to A3 + A4

If you want to switch on all 3 lamp modules --> A4 ON
If you want to switch on A1+A2 --> A5 ON

This works really well. Furthermore, these modules can BRIGHT from OFF without going to full brightness first. A5 BRIGHT 50 --> You get A1+A2 bright from 0 to 50%

I found only one problem with these modules: The DIM level is not interpreted exactly as with Marmitek modules --> 50% is not half brightness. This means it's difficult to build scenes with mixed marmitek and X10-2 modules.