I have a server with multiple CF updates that need to be installed. If I do 'Download & Install' on the latest one in CFIDE will it automatically do the others ?

Most updates are cumulative, meaning that installing the latest update should include all previous updates. You can find details on the ColdFusion update release page—such as https://helpx.adobe.com/coldfusion/kb/coldfusion-2021-update-17.html. There is a blue box at the top of the page indicating that the updates are cumulative.

You only need the most recent one, like @jakobward said. However, I only download updates through the CF Admin UI. Doing the actual install on the command line has proved much more reliable over the years, for me anyway.