Hi,
Bandwidth limiting can be of type "overall" (which means globally on the WSA) and of type "user" (which you do it in the "Access Control Policies" per app). Yes, not all apps support BW limiting.
What are you actually trying to achieve, have a user consume no more than x Mbps, or have a user consume no more than x Mbps per app? Cause if the app doesn't support it, second option is gone.
Regards,
Cristian Matei.