Ideally all of your equipment should be connected to the same strip, because most surge protectors work by shunting surges to ground, which contaminates it with a higher voltage then zero. If some of the equipment is grounded elsewhere, then you can get very strange currents flowing to them over network and audio cables which can damage hardware when the surge protector trips.
As for protected, the only surge protectors that probably do anything are those whole-house ones that install right in the fuse panel--you need the shortest path to ground possible because the rise time of a surge can be so quick that the impedance of the ground matters a lot. Hanging the surge protector at the end of forty feet of house wiring and cords means that for such surges, the resistance in the ground would be so high that for all practical purposes, it's not there.