You don't need to configure a user store for each of the servers, it's fine if you just want to have an admin user within the embedded user store to manage each server. Maybe later in a production environment you want to re-consider this.
Then if you use IS for identity management, it is better if you configure an external user store, for instance JDBC, for reliability and performance reasons. You could even configure the ESB and AS to point to the same user store, but you don't have to.
If you need authorization, there is a good example here
Then if you want to use IS for authentication, it depends if we are talking about a web app, web services or APIs... there are different mechanisms you could use (SAML, OAuth..) depending on your requirements, and regardless of the user store you are using.