I select all clips on the timeline by pressing Ctrl-A. After that I click on the icon named FX on the first videoclip (1) to select a videoeffect, in this case 'Croos Fade'.
The effect is only added between clip number 1 and 2, and not the clips after number 2.
In earlier version I experienced a window popped up, where I could select that it should be attached to all the clips. This doesn't happen.