There's a rule in the Compendium 2010 p148 "Gubbins".
There's also an updated list with upgrades and some of them cannot apply to escorts (such as an additional shield). The rule also says that you can only take one upgrade per command re-roll the warlord has.
Otherwise it says there: "Gubbins taken for escorts must be taken by all escorts in the skwadron (if applicable) for their listed cost and not merely by individual escorts."
So I would say the upgrade counts for the whole squadron, even considering the fact that you have to annotate on which escort the warlord is embarked on. It would be pretty damn expensive if an upgrade would only count for a single escort.