I was just cleaning my pending comments queue with over 6000 comments (most were spam) but by default WP only shows 20 comments. In order to delete 6000 comments I had to iterate many times to remove them. But luckily I found the 'screen option' dropdown on the comments page to set the number of comments to show on a single page. You can make it 50,100 or 500 whatever you like (you might get an error if that value is set too high) You can also do the same on POSTS pages (and other pages) where you need to select more than 20 (default) posts or pages. You can also use a Mass deletion plugin for deleting all the pending comments and also the phpmyadmin solution is available as well if you feel comfortable doing it that way.