Although this would be a nice capability, it's not that hard to use Both-Sides, and enter a depth that is well beyond the part extents. If neccessary, use a relation to ensure that the depth is adequate.
However, there is a more practical issue. In the past, I've done timing tests, and found that the Thru-All option (when available) is significantly slower than a fixed depth. I assume that Pro/E simply takes too much time to determine the depth needed to go through the part. Therefore, I no longer use Thru-All anymore.
In Reply to Lyle Beidler:
When is PTC going to add a Through All / Both Sides button to the extrude
dashboard? I use that combination all the time for cut features