In a three phase choke, is the rated current per phase or for all 3 together?
... if I parallel these together it will be 1 third of that.


Actually, no. Since the windings are coupled magentically, it's as if you had a single winding with the same number of turns (same inductance) but 3&times; the current capacity.

The formula for parallel inductors only applies when they are not coupled.

If each winding can handle 40A, then the three in parallel can handle 120A, assuming the core doesn't saturate or anything.