If I select an entire row or column I can use SetRowFormat/SetColFormat but there doesn't seem to be a method for the entire worksheet. I checked the source of AddFormat but of course that applies to the workbook. I'm currently just setting each column format individually which leads to a small delay when opening the workbook (also in Excel).
It would be nice to have a way to set the entire worksheet if that's possible, although it's not a show-stopper since the opening delay is small.
Sadly there is no attribute in the file format for the whole sheet. So you need indeed to set all the columns, and that's what Excel does internally if you select the full sheet and set a format. You can verify it easily with APIMate: Set the full format to something in Excel, then open the file in APIMate
For example I set all the cells to red, and I got this in APIMate: