Insofar as I'm aware, yes, they trash everything they can hit,
Ok, I had to test this b/c it would make cav seriously OP.
TL;DR: cavalry only attack one unit at a time, they don't attack all of the units they have the range for.
Here's a battle a few days in (started as France, rivaled then attacked Burgandy), on the last Fire tick before the beginning of the shock ticks. I was trying to get a 1-on-1 battle (10-4 vs 10-4), but one of BUR's subjects hopped into the middle of the fight...
Note the BUR cav has 1000 men before the shock phase (Cav fire modifier @ tech 3 =0):
Now, on the next day, we have a die=9, terrain=-1, attack_pips=1, defense_pips=0 for a base roll 9. They took a total of 124 casualties (1000 to 876)
From the wiki:
C_base = 15 + base_roll*5 = 60
Us_atk =1.000 (full strength)
Um_atk = 1.0 (Cav shock, lvl 3)
No combat ability bonus
disc/tactics_def = 1.00 / 0.5 = 2
Casualties = 60*0.938*1.000*1.0*1.00 /0.5 = 120
Now, 120 is not exactly 124, but it's close enough for paradox math

.
On the other hand, if my 2 cav were attacking all units they could at once, then the damage to the BUR cav would be doubled, and that's not what happened, so I think it's fair to say that they only target one unit at a time.
EDIT: Now, maybe, just maybe, they're something going on with the total casualties being divided amongst the units they can attack, but I don't think that's the case... I don't think it would explain the discrepancy either, as my units were all near full strength.