It’s curious that this is only available in the Inspector but not the Dictionary viewer itself (I’ve several times wanted to do this in the Dictionary viewer, not realising it was possible elsehwere), which is absent the upper options:
I’m assuming there’s some technical reason why this couldn’t be implemented, as it seems fairly obvious that you’d want to have a ‘power’ feature in the main Dictionary viewer if possible.
Keep in mind that searching the dictionaries of all known applications can lead to some undesired consequences. Some applications must be running in order for Script Debugger/AppleScript to gain access to their scripting meta data. Script Debugger caches this information to avoid launching applications whenever possible. If there are a lot of applications for which Script Debugger has not had an opportunity to cache their meta-data, then you may see lots some of these applications launched.
Within the context of the dictionary window, the search feature focuses on the chosen application. The cross-app searching is done, as you have found, from the script window’s dictionaries inspector.