Visio seems to have as general philosophy not to accept modifications of a property if one of the shapes has already the desired settings.
eg to remove the protection settings of a bunch of shapes, you need to set all the protections to true first, go through your menues again and only then you can set them all to false.
The same for the annoying 4pt text margins. If one of your shapes happens to have already the desired values, you need to first set an arbitrary new value, before setting the actually wanted one.
What is needed here is a 3rd state of the check boxes and of the text fields that shows that there are different values.
----
not sure if that has not already been changed in V2010. I'll remove my post in this case.