I'be struggling with the same issue and found how to solve it.
- Select all the points of your grease pencil object in edit mode
- 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)
- At the top panel turn on multiframe
- Now you can apply a new material to all the keyframes in your animation.
Hope it would be useful for someone