I'm pretty sure that -- All -- is added by the DLL to drop down lists when the field is displayed in a search screen or a filter list. All is only relevant on those screens.

Thanks a lot, @vega. By mistake, while creating screen the type was 'Entry Screen'. Changed this to 'Search Screen' fixed the issue.

You're welcome. Easy thing to do :)

Easy when you recognize the exact reason

Easy when you recognize the exact reason

I know this is an old post, but we're having the same problem. a Custom Communications ASP page showing a list of communications under a 'Project' which has a filter screen down the side, putting any selection field in there and the 'All' 'None' option is missing. The filter screen looks to have been set up as 'Search Screen' rather than 'Entry Screen' 

Put a Team field on there and it has the 'Unassigned' / 'None' value in there.