If I remember right, there is no way to configure the default behaviour, but you can save at least one mouse-click if you use the "All" button to check all build-targets.
You can modify the XRC though, can you?! (Or was this a built-in panel?!)
Its wxSmith-created (filepathpanel.cpp), but ituses a wxCheckListBox and the existing targets are added with append in a loop.
I don't know, whether it's possible to check all items by default.
Doing it is a really simple task, the button-event does it in a simple for loop, so it could be done by default or configurable.
And as written before, it might be possible to have all newly appended items checked by default, but I did not find such an option after a quick look in the wxWidgets docu.