Linear voltage regulator output capacitance limit
This is the relevant section from the datasheet:



My interpretation of that is that \$C_{out}\$ can be up to 10 uF total in order to guarantee stability.

Does it mean that is the total capacitance attached to the output rail?
Yes it does. As long as a capacitor is directly between output rail and ground, it adds to the total capacitance.

Is it bad if I, for instance, put the 4.7uF near the voltage regulator output pin, but also the 10uF at the MCU part and RF part?

You would violate the recommended / guaranteed value of \$C_{out}\$ since \$C_{out}\$ would be 14.7 uF. I would not do this and it is not needed. Probably the 14.7 uF will just work and there is probably no instability at all. But there is no guarantee !!! For the guarantee, stay below 10 uF. Anyway, there is no need to have 14.7 uF.

The typical circuit for the LP5907 shows \$C_{out}\$ to be a 1uF capacitor, I would simply use that and place this 1 uF capacitor close to the LP5907. Then additionally place a 100nF capacitor across the supply pins of all other ICs so including the MCU. The 100 nF needs to be close to the chip which it decouples.

If for example the MCU's datasheet recommends to use 4.7 uF then use that, you would then still be below 10 uF total (1 uF at LDO, 4.7 uF at MCU).

Supply decoupling isn't always about using large capacitor values, often it is better to use many smaller (100 nF) capacitors. Also their placement is essential, the capacitors need to be close to the chips which they decouple. This is to make the high-frequency loops small.

Pro tip: if there is enough space on your PCB, simply add footprints for extra capacitors so if you find that they're needed you can easily add them. If not, the space simply remains unpopulated.