I've found a few quirks with the "apply to all pages" option, but still use it quite a bit.
Basically, if you use that option, you will immediately get a duplicate of that module on all pages, using the same formatting (skin, etc.) as the original. If you go to each page, you can modify each one to look different and it won't affect the rest. You can even delete it from a few pages and it won't reappear. However, if you delete it from all of your pages manually, but fail to remove that check mark before you do so, all new pages will have that on also. If you aren't expecting it, that is are really aggrevating feature! You are right though, they won't disappear automatically from all pages by unchecking that box.
The other option you could do is to use the LOGIN tag, that will allow you to move it anywhere on the page, via skin. You could substitute a graphic for that prompt.