Afraid this is not implemented in Progress SQL, although introduced in SQL92 not many database vendors support this and others have their own approaches like Oracle's INSERT ALL in PL/SQL :)
Off the top of my head, I cannot answer this question for all databases. However, I am aware of support for this syntax in PostgreSQL. I imagine that this means that Redshift and Greeplum also support it.
As for the more traditional databases (Oracle, SQLServer, etc.), I don't really know. A search and scan of the SQL syntax reference guides for those databases will likely answer your question.
Are you interested in using this syntax mostly for OpenEdge? If so, take a look at the OpenEdge SQL syntax reference guide at:
documentation.progress.com/.../dmsrf.pdf.
On page 39 of that guide, the INSERT syntax is summarized. It does NOT seem to suggest support for that syntax.
Hope this helps.
Mike