Duplicate of this report: https://issues.unrealengine.com/issue/UE-33622
When you try to apply a material to multiple mesh components of an empty actor dragged into the scene; the material is only applied to one.
This issue won't occur under these circumstances:
One of the components has actually had its material changed, the rest are unchanged
All components have their material updated
There's no existing public thread on this issue, so head over to Questions & Answers just mention UE-36024 in the post.