you want to jam only the enemy's frequencies. if you jam everything, you are denying yourself communications, both civilian like gsm or wifi and whatever specialized devices you might have, and more importantly you are jamming your own radars. things get trickier when you and your enemy are using the same bands, like 2.4/5ghz wifi for drone control. sometimes you don't see EW used for this exact reason
power spectral density drops massively, decreasing effective range of your jammer. there's no hard border between jammed/not jammed, there's a gradual transition instead. when you put lots of radiation in bands that nobody uses, you're limiting jammer for no reason. it's better to blare noise only on narrow bands where there's actual traffic. can you jam everything from 2 to 3.5ghz? sure, but if you really need to jam only 2.4ghz wifi band, then you're limiting range by about 4x or so, everything else being equal. additionally, things get broadband and it's bad, because all components need to be broadband, which is harder, heavier, more expensive, or you need to bundle what is effectively several jammers next to each other, some of which would only jam, say, friendly radar
if you're jamming, you're jamming for everyone. this also means that you can't use electronic surveillance on bands that you're jamming, for example you can't locate wifi transmitters or drones if you jam wifi bands

no, "heavily jammed" does not mean "all bands are jammed" as evidenced by fpv drone being controlled by operator and receiving video output, which means that whatever bands they used were open. "heavily jammed" more likely means that common bands like 2.4ghz or gps bands had large spectral power density of whatever they used for jamming (does not have to be white noise and probably wasn't)