Each merge requires conflict adjudication and sometimes conflict resolution, so there's no way to merge without checking out the branch into which you're merging. That written, do you need to merge it into all your branches?
For example, I have dozens of branches locally, but the vast majority of them are isolated features or fixes. These don't really need most hotfix maintenance commits, and I don't bother to keep them up-to-date until they're production-ready or ready to be shared with collaborators. When they are, they should be brought up-to-date regardless of whether or not master
got hotfixed to make the production integration easier.
In other words, my workflow allows me to distribute the trouble of merging hotfixes into feature branches to a time when it actually matters. If you've a bunch of small feature branches, you might not need that hotfix code just yet.