Yes, and even though I haven't tested -but I'm sure of it as the source is Onkyo service manual of the DV-SP506. You don't change it as "all region" you just select the region you need:
1. It requires to have the RC-484M remote control that is not the one that comes with the SP506. The one that comes with the DVD is the RC-657DV.
2. You can change the region code using the RC-484M remote:
a) turn on power and "No Disc" condition
b) Press "DVD" and "2" keys at the same time on the 484M
c) Press "Return" key -> displays REGION MODE
d) Press "1" for region 1, etc.
---> MDD1N: "1", MUP2P:"2", MUT3P:"3", MUK3N:"3" (also), MUA4P:"4".