It’s not used anywhere in the stdlib and undocumented. You can only find this on StackOverflow if you compared the performance of all(... for ... in ...) / any(... for ... in ...) with a for loop.
What looks the cleanest? I think 2 (not 13) extra characters is a fine price to pay for the best performance:
if all(value in values for values in values_list)
if [value in values for each values in values_list]
if all(False for values in values_list if value not in values)
I think the performance improvement over the most commonly used variant should at least be mentioned. I can put the fasted alternative first though.