Command Markdown: Toggle Unordered List doesn't work with multiples lines selected.
Expected: Multiple lines toggle between formatting as a list and formatting as a regular paragraph.
Observed: Nothing happens.
No.
The toggleUnorderedList command was added for switching between list markers (#145).
This is a different feature. By the way, you might like to know VSCode's multi-cursors feature.
Ah, then I misunderstood the feature from the command. I know the multi-cursors feature, thanks.
Then this would be indeed a feature request for toggling the state of multiple lines
a) between ordered list on/off
b) between unordered list on/off
A GIF from Markdown Shortcuts

Yep, that's the functionality with asterisks (which make markdownlint complain). Unfortunately, there's no option for dashes.
Any ETA on this feature request? Thanks.
Thanks for the interest. I personally don't have much time for this...

In the upcoming release