The All Inboxes box is a favourite which can be added manually.
In Mail, hover the pointer over the Favourites label.
A + in a circle will appear to the right. Click on it and you will be invited to add a favourite, one of which is All Inboxes.
See Use favourite mailboxes in Mail on Mac for Apple's instructions.
You can also achieve this in another way. Use the menu bar option View > Show Favourites Bar
Using this you can toggle between showing or hiding the favourites choices across the top of the Mail app. This is useful if you want to hide the sidebar with all the mail boxes on the left. (View > Show/Hide Sidebar).