Shift-click to apply to all materials, only works from the Wacro buttons in the material room, not the drop down list that "User Defined" gives.

When you run it from the File menu, scene.WacroMaterials() contains the set of materials that your last action in the Material room worked on (i.e. it's a "sticky" list).

If you look at the scripts I wrote to apply things to all materials, you'll see the required construction.
Because the list scene.WacroMaterials() returns is sticky, there is no logic that will distinguish whether a script is being run from the Wacro buttons or the file menu, so if you need it to run on on one or all materials, you must assign it to a Wacro button.