I want to setup a general rule that any IP connection will be limited to 40KB/s
Do I have to set it up for each IP individually?
I guess I can pharse it also like this: When I create a rfilter that sets a cap of 40KB/s for "Any IP" option
does it mean that all ip connections combined will be sharing that 40KB/s or each connection will have its own 40KB/s?
No, it doesn't. The bandwidth manager requires a rule per IP address to give a specific bandwidth to the IP address. If you specify Any in a 40KB/s rule, then all connections through the rule will share this limit.