I suppose there's nothing inherently wrong with this option. The manual itself does acknowledge this option (see PDF page 9 of this http://www.abandonia.com/files/extras/26916_Extra%20document_Manual.pdf) and, while it explicitly states "it is not possible to win the game" with this mode they probably weren't expecting available glitches.

I'm out of practice so I haven't yet confirmed that the game completes without saves when using this command. If it does...ultimately this comes down to a decision of preference, and I prefer to side with the convention of segmented runs from 10+ years ago that ran every level. Might make sense to rename the category to All Levels? Either way there will be an explicit mention of this particular command so as to avoid confusion.

Got the whole Commander Keen series of games up and running. Thanks for granting me mod on the games!

http://www.speedrun.com/ckeen