I assume you are using KeyClone (going by your profile). There is a mouse broadcast setting in KeyClone that you can turn on and bind to a key. Under the general settings I think.

How it works:
Hitting the mouse broadcast key will toggle mouse broadcast mode on. Pushing it again will toggle it off. When on a mouse pointer will appear in all your sessions more or less synced with the main but it is not exact, may be scaling issues. When you click the mouse button KeyClone will click on the current session and then it will focus and click all the other sessions 1 by 1. After the mouse click mouse broadcasting is automatically toggled off.

Moving or clicking the mouse while it is switching between sessions to do the mouse click can have unexpected side effects. It is not great but it does work, just don't plan on using it in the heat of the moment. It is more of a toggle it, click and wait for a second or two.