I agree with Bill's answer: sometimes. (Incidentally, that’s usually the correct answer with all of these "fully interchangeable" questions.)
Bill’s answer provided several examples where "all me" and "all of me" were not interchangeable; I wanted to dissect one with "all [of] these."
With that in mind, I'll offer:
All these jokes are making me laugh.
All of these jokes are making me laugh.
Are these interchangeable? Largely, yes. Fully? Perhaps not so much.
I might be more inclined to interpret the first statement to mean that all the jokes collectively are making you laugh. (Perhaps none of them are all that funny individually, but, taken as a whole, you can't help but start laughing).
The second could be interpreted as each joke individually is making you laugh. They are all winners and zingers.
That breakdown coincides with the one you offered in your question:
..."all these" would refer to a group of objects as a group, and "all of these" would refer to each and every object inside the group
I must point out, though, that this difference is a subtle nuance, and not a prescribed shift in meaning brought about by the absence or presence of a small preposition. More important than the inclusion or omission of the word "of" would be the context in which these are used (and that might include which word is stressed when the sentence gets uttered). Either sentence, though, could be a valid answer to either of these questions:
[from your friend at the comedy club]: Why are you laughing? This guy isn't very funny.
[from your friend the comedian, practicing her act]: Well, what do you think? Did you like it?
To test the degree of "full interchangeability," simply perform this a mental exercise: try giving both answers to both questions two times, once when you think every joke is funny, and once when you think none of the jokes are all the funny individually, but the routine is funny as a whole.
If both answers sound equally natural and appropriate in all cases, then the sentences are indeed fully interchangeable for this example. However, if you think that one sounds a little bit better than another for one or more scenarios, or perhaps more precise, then a slight difference has been demonstrated.
Lastly, even if you complete this mental exercise, and convince yourself that the two statements are both fully interchangeable, a similar example where the difference is more pronounced might still exist. So, the absence of a slight difference in this case doesn't necessarily disprove the "sometimes" answer.