Not true, but the user interface is now quite complex.
An iOS "Shortcuts" shortcut can have many actions, allowing you to add multiple lights to a shortcut.
But you would be better off creating a shortcut based on a room or a zone. A zone allows you to control a selection of lights across room boundaries (in my case - all the lights for several rooms at once).
You create zones in the Hue app (the "..." on the app home screen, top right).
The Shortcuts app allows you to create folders and you can place a shortcut in in multiple folders - so it works more like a "tag" than a "folder".
First you want to add a widget of the size you want. When you have completed this, you long-press the widget to edit the widget. Here you can select the folder you want the widget to expose.
It works well, although I find the 8-size widget to be waaay too large. I would have liked the option of a widget only being shown by it's custom icon
EDIT: I wanted a set of shortcuts with identical settings, the only difference being the scene. I only found out later, that I could have created the initial shortcut and then just used long-press to make duplicates