The only RTS game that allowed full control was Total Annihilation. Hell u could give commands to the factory like guard, move, patrol and the produced units would execute them. You could also select ALL units on the map including builtings.
The reason that the limit in other games IMO is because .... emm... hmm... well the word stupidity comes to mind but then again is maybe just me. I mean if a general can order all his infantry at the same time, so does the player should also.
Oh well, some ppl are simply mazohists, or whatever u spell that word.