Actually, in FCP the list of recent clips is in a pop up menu, they can be loaded in all at once. Avid has a similar function. Premiere Pro goes one better by allowing you to cycle through them with next and previous command or go straight to first and last clips. You can Close All clips, but probably not the exact way you want.
Feel free to make a feature request: http://www.adobe.com/go/wish
Here's a screen shot of the options you can create keyboard shortcuts for:
