re: Is there a way to hide the search message box when using the dropdown category search?
Yes, you can disable this on the Connections : Settings admin page under the Display tab.
re: Also is there a way to rename the “Show all Categories” entry for the dropdown menu?
Yes this can be done with the str_select_all shortcode option for Slim Plus. Add the following to the existing shortcode
str_select_all="Change Me" to change the label.
I hope that helps!