Good workaround suggestion brad77! Thanks for your insight. There is really no reason to use the default group - it was just convenient that all lights were already in the group and I am not controlling appliances or garage doors.
It was not a typo. Before going to sleep, I first turned My Lighting ON to go into the kitchen. Then after returning to the bedroom, I clicked All Off. When I woke up to cold 54 F, I first suspected that All OFF set thermostats mode to off. Upon testing I found that ON was actually setting thermostats to off. All OFF does not change anything on the thermostats.