I too am having the same issue. The functionality has changed in sp4.0. In previous versions it worked as you would like it too. I've contacted my VAR and they could reproduce the problem. The problem was sent on to Solidworks and their reply was that the functionality is fixed in 4.0 and...
designer22,
I too am having this problem but I'm running 2008 sp4.0. I didn't have this on sp3.1. I've contacted my VAR and they told me it was supposed to be fixed in 2009. I guess this is not the case. Maybe it'll be fixed is sp1.0.
In Solidworks 2008 there is a feature that is exactly what reverse blank all is in UG. Under the assembly tool bar there is an icon called show hidden components or it can be accessed by right clicking into space in the graphics area.
Rick
SW2008 sp 3.0