Here's a couple of ways to try assuming that you're filling your list from a query.
="Gross Total For : " & iif(Parameters!TeamName.Count = count(Fields!TeamName.Value,"DataSetName"),"All", Join(Parameters!TeamName.Value, ","))
="Gross Total For : " & IIF(COUNTROWS("DataSetName").Equals(Parameters!TeamName.Count),"All", Join(Parameters!TeamName.Value, ","))