I want to save all of the photos in my messages to my pc

No native way except mentioned by Chris, unfortunately. Would be interesting to know why they haven't added "Select all" option there or just made the behavior like in photos app, where you can swipe to select multiple photos. Best I can suggest here is using a third-party app for this, but they are paid, so tapping on all photos could be easier maybe. If you'll decide to try this way check iMazing (guide), I use it quite often and there's an option to save all attachments from a conversation to a folder.

If I open an iMessage thread and tap on the contact at the top, then tap on Info and scroll down to Photos, I can go to Select, then select the photos and tap save.

We are users here, not Apple. If you are dissatisfied with the way Apple does things, you can leave them feedback here, Feedback - iPhone - Apple and go back to your Android device, which gives you exactly what you want it seems. You need to use a device that meets your needs, and does not give you problems like this.

Save the photos to your iPhone and then you can transfer them. You cannot do so directly from iMessage, unless you have a Mac and can AirDrop them from iMessage. if the iPhone does not meet your needs and you are more comfortable using an Android device, which it appears you are more familiar with, then you may wish to go back to Android, rather than suffer with the iPhone.