If the states are grouped, as with the shipping methods, any new rule will be associated to each state in the group. If the group is modified, the new states added to the group will contain the rules too.
You can assign rules to a group even if it is not grouped.
To delete a rule from the whole group you will need the ‘Show grouped’ option enabled. Click the ‘Delete’ button and the rules associated to all the states will be removed.