I guess fixing that menace bug isn't a high priority since most people don't even realize you can select multiple blockers at once.
Talked with one of our other designers about this to get an idea of when it might get fixed.
Currently, you can't assign multiple blockers at the same time when the attacker has any restrictions (like menace). It's really lame, and people do want to get it fixed, but it also involves rewriting that part of the combat manager. So sadly, it's not a super trivial fix. That's the only insight I can give, sorry I can't be of more help.