They both mean the same. "All that" could be used when speaking about a series of events and "that all" for one specific event but in essence you could use either. :)

It isn't wrong! The sentences are basically the same, but there is a different emphasis in each one. 1. "What was that all about?" When I see that, I automatically put an emphasis on "that," so if you were to say this out loud, it would sound like: What was THAT all about? Maybe you just heard your friends arguing and one of them is angry, so you might ask about the argument using this phrase. 2. "What was all that about?" Here I wouldn't put an emphasis on any word in particular. Because there isn't as great an emphasis, it seems a little less intense.