It deletes 1 page at a time and how do I get to the last page so I can start there?
I don't know a shortcut to get to the last page. When I've cleared mailboxes at gmail, 100 at a go was good enough. I rarely use gmail as my reader. A cronjob grabs the messages each 10 minutes using fetchmail, and my gmail inbox accumlates at most a few messages in that interval.
You click "oldest", shich should be way over on the right side.
Any time you have to scan through thousands of messages it's going to be a lot of work.
I have no strong opinion on gmail, but the spam filter seems to be really good for me -- rarely does spam ever get through.