It is not currently possible to select multiple objects and create overlays. If you select multiple objects and right click the Create Overlay option is grayed out.
My guess is because after creating an overlay the objects opens and opening over 100 objects could be bad for Dev Studio.
An example myself and others in the The specified item was not found. Community have experienced is when using the out of the box AIF workflow. Best practice states that overlays be used. Looking at my driver script (workaround) I created 164 overlays to use the AIF forms. What a waste of time doing this one at a time; to right click -> create overlay -> wait for the overlay to create and the object to open -> close the object -> repeat.
(contains my AIF driver script)
What I would like to see is the current behavior remain the same (or a config option in DS to turn it off would be nice) if one object is selected and overlaid it will open. If multiple objects are selected that Create Overly is available but the objects will not open.