No. Alexa's smart home commands address either individual devices (or at least what it thinks are individual devices) or groups of devices that you define in the app. So, just define a group with a simple name ("All Lights", or something similar) and include all of your individual lights in it.
"Alexa, turn off All Lights."
...or just...
"Alexa, all lights off."
Piece of cake. I suppose you could even name the group simply "Lights", though that's likely to cause some confusion...if not right away then some time down the road.
Piece of cake.