You were on good track to find how to do it. In the list of all ships, You can select all of them using shift or ctrl. First select the ship on the very top of the list, than without unselecting it scroll at the end of the list and using shift (right shift) select the one at the very down of the list. That way You should select all Your ships. The rest is simple - push a Retrofit button and OK if You have credits. Of course propably You want to retrofit only a military ships. If that is the case than in the ships list chose "Military Ships" to make list a bit shorter. You can also pick every ship from the list manualy using ctrl key - it allows to pick multiply ships, and it works diffrent than shift (for selecting all the sips shift is a way faster so better do it using shift). I hope that helped You.
That's what I did, but I didn't need to use shift at all; I just let go of the left button on the mouse, and it retains the highlighted ships. It highlights the ships as they go down, but it goes too slow. It's just a few ships per second. There's thousands of military ships....
I've also come to another pickle. In late game, I don't need escorts and frigates anymore. The money I had was essentially unlimited. How do you scrap all ships of one type? If I can't do that, then I'll have all these weaker escorts in my fleets, and I don't want that.