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Case urgency refers to a property of type .px which is an auto computed and cannot be overriden from user interface screens.
If you are looking to update your case urgencies in bulk, you have a few options.The best is to add a local action to your casetype that updates the urgency (there should be on OOTB). This makes that action available at anytime for that particular casetype. Bulk processing finds the union of all available actions for the cases you have selected, so make sure that any case instance you have selected in bulk processing has the ability to update urgency. Update Urgency should now be an option in your bulk processing.
Also, transfer also allows the ability to update the urgency as well when moving cases/assignments to other members or work queues.