Backtest-several-indices-in-one-run

What would it facilitate? You can already open several strategy windows (or even multiple workspaces with strategies) and backtest them simultaneously.

Could you elaborate on what does "indices" mean in this context - multiple portfolio backtests?

to test a strategy f.e. on some datasets the user created:
sP500, sp100, high vola stocks, low vola stocks, tech sector, commodities sector

It would be like "Optimize" the strategy parameters, but a ready strategy optimizing the dataset by comparing different f.e. indizes.

Exactly.

In the old WL4 there was a WatchList Ranking tool which served the same purpose.

You can do this to some extent using MetaStrategies by adding your strategy n times for n DataSets.

The Backtest Results don't currently break out the metrics for individual strategies, but you can see the individual profit curves. The only problem there is that they all have the same name of the strategy under test. But this is easy to overcome by cloning the strategy and giving it different names - like MyStrategy-SP100, MyStrategy-N100, etc.

For now, I'd probably just opt to open the Strategy n times in their own window, choosing a different DataSet for each one.