I'be struggling with the same issue and found how to solve it.

1. Select all the points of your grease pencil object in edit mode
2. Select not only all the keyframes but the animation layer in the dope shit editor (it is in the bottom of your screen if you use 2d workspace template)
3. At the top panel turn on multiframe
4. Now you can apply a new material to all the keyframes in your animation.

Hope it would be useful for someone

I've been struggling with the same issue and found how to solve it.

1. Select all the points of your Grease pencil object in Edit Mode
2. Select not only all the keyframes but the animation layer in the Dope Sheet Editor
3. At the top panel turn on multiframe
4. Now you can apply a new material to all the keyframes in your animation.