In ArcGIS Pro: Enable the legend creation tool "Add all values" to use the format settings from "All Other Values" like ArcMap does.
In ArcMap when creating a legend of Unique Values, you can first make basic settings in the All Other Values symbol. If you then select Add All Values, ArcMap will apply basic settings, such as line-width, offset, etc to ALL of the newly created symbols for the legend. The is a very powerful feature that makes it easy to create a legend with dozens or hundreds of symbols that would be impossible or cost-prohibitive to create if each symbol had to be modified individually. This is one of the features that makes ArcMap truly a Pro product.
ArcGIS Pro(?) seems to not have this capability. When you select Add All Values, it just creates the symbols with default settings of 1 point line width, normal position, etc. This makes it difficult or impossible to created a legend of large numbers of symbols when they all have to modified individually.
Additionally, as mentioned in the comments below, More -> Format all symbols doesn't help with this because it only allows you to apply a small subset of format attributes to the group of symbols.