I have several sockets in a room. I’d like a single toggle switch that turns them all on or off at once. I tried creating a Scene but it seems like you would have to have two scenes, one for on and one for off. That’s not quite what I want.

Put them in a group - it’s that simple. You can then turn the group on and off. You might want to use the switch as X function as well to make HA think the sockets are lights.