Have you tried holding down shift while you click on them?  Should highlight them together.

Otherwise not sure what you're referring to.

I'm not aware of any way to set rally points. It might be nice but to be honest I've never really trained enough units that it's been an issue. The number of cities and number which are training troops in an average Legendary Heroes just isn't on the scale it can be in a large tank war in Civilization, for example.

With heroes, magic, summoned units, etc., it's not hard to complete a game having trained fewer than ten units. Zero units except Pioneers is perfectly feasible. There are other parts of the user interface which I'd like to see improved first.

Especially if you've got Tame, you can build as strong an army as you'll ever need with tamed beasts, heroes and summoned units.

I do train units but I favour quality over quantity and normally only have one proper stack, so I probably don't train more than twenty units in a game on a medium map.

I enjoy building loads of cheap units and sending them all over the place on large maps.  Leather-armored cheapo-units are easily spammable and can be replenished quickly when they inevitably die, and they're ideal for fighting off enemy armies and razing their cities and allow you to level up other heroes without wasting valuable monster xp hehe. 

On anything larger than a small map, I train more than 20 units, because I enjoy that aspect (unit design) of the game, and I'd like at least the option to train units and have them sent to a rally point.