No, there isn’t a collapse all feature. I’d like to see this and a simple collapse option in the context menu, too. Say you’re at the bottom of a section and you want to collapse it, you should be able to right click and select Folding > Collapse.
Also, I’d like to see additional code folding options, such as user-defined regions. There is a project on sf.net that does this. Check out http://www.coffee-bytes.com/servlet/PlatformSupport. I’m using it, but it’d be nice to have it as a part of MyEclipse.