(I use Mu3.6.2 far more frequently than Mu4.0.x)

But, in Mr4.0.x, I experimented with your question. #1 below, I click on the top stave first note. Holding the SHIFT key, I click on the bottom stave first note. A selection box appears. I click on the 'Dynamics' pallet item 'mf'. The dynamic gets applied to all notes in the 'stack' #2 below.

3 below. Then I did the same top-to-bottom note selection of beat 4. First I selected a 'rit.' from the Tempo pallet. Then I selected a crescendo from the Lines pallet. As we see, the 'rit.' was applied (and appears only above the top stave). The crescendo is applied, starting at the selected beat 4 notes (vertically).

So, generally, yes... Depending on careful click-and-mark-a-range-of-notes, (at least some) notation items can be applied to multiple instruments. Not sure about more notation elements.