Pinnacle's Clint Black gave an official ruling on whether or not tricks or tests of will (i.e. taunting and intimidating) could be done against multiple enemies in a single action:
For combat effects, a character can't, not without some kind of Edge allowing it (such as Rebel Yell from Deadlands).
For noncombat effects, it's really up to the GM to decide on a case by case basis as noted under Tests of Will: "More subjective effects are determined by the Game Master in roleplaying situations."
I've seen GMs sometimes allow it in combat situations if it really feels like it's necessary (and it's certainly the GM's prerogative to do so), but the official ruling is that tricks and tests of will can only be done against one enemy at a time in combat.
Also, I think that if you are playing in a setting like Deadlands where there is an Edge that explicitly allows this functionality (Deadlands' Rebel Yell Edge allows for an area of effect Intimidate), you should certainly not allow it because that would mean that the Edge wouldn't provide anything new and would therefore be worthless.
As for why multiple target tests of will or intimidation shouldn't be allowed, I think that gameplay balance is the biggest reason. The benefits of a successful test of will or trick is pretty powerful (a mechanical penalty and the possibility to be Shaken) and allowing it for multiple targets makes it even more powerful. Thus it's not available in the core rules and in the few settings that do allow it it's locked off in an Edge for those who meet the requirements.
Thematically, I think that to intimidate someone (or taunt, or whatever), you have to command their attention and that's easier to do for one person than for multiple. Yelling an insult may affect others, but it has a greater effect on the person who you also staring at and charging towards. Much like how "just as scratch" damage is ignored in Savage Worlds, I think being mildly affected by an Intimidate is ignored and only the one who you were focusing your attention upon gets the effects.