Unless you are on flat terrain, and your army formation isn't too wide, it's not a good idea to rotate an entire army. If you are defending, you get to place your units, anyway, so barring a mistake in set-up, you shouldn't need to rotate.
The confusion and loss of unit formation while an entire army changes direction is a recipe for disaster. If you are in difficult terrain with impassible tiles, your units may never even get to where you want them to go, or get hung up trying to by-pass an obstacle.
As I mentioned before, to move an entire army, CTRL + A, then Right-click and hold, then draw out using the cursor where you want the army to move.
You cannot use the process well-put by DEB8 because when using that method, your army will arrive at the target location facing the same direction. AFAIK, you have to use the click/hold and draw method to rotate.
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