Hi,
Well, the biggest problem with that is the sending of the order status notification.
Sending one email per order when you try to change the status of 20 orders at once would be problematic on many servers.
That's why there is a dropdown on the listing in order to do the orders one by one.
Instead of clicking on a checkbox and then a button,
You just get to click on the dropdown, click on the new status and validate.
That a bit more clicks with a lot of orders, but you have a better control of what's going on an no issue with the sending of the emails.
But adding such button would be possible. It's actually possible to write such additional button as a plugin. No one really needed it so far and thus we didn't feel it would be needed.
Actually, what would be even better would be to have a mass action button on the listing so that you could choose among the mass actions to do an action on the selected elements, including changing the status at once and that's the way we want to go in the future.