You can but in my experience they don’t all react simultaneously.
That was my experience too and I found it very annoying. 
Fortunately in 0.101, this was added/merged and was stated in the release notes.
- Switch on/off all lights, and wait for the result (@mjrider - #27078) (light docs)
This made all my lights/light groups react simultaneously or at least improved it so much that there isn’t that noticeable “hitch” between lights turning on/off. 
I’ve been waiting for someone to fix that annoying issue for a long, long time… so thanks @mjrider !!! 