This has been studied experimentally, how one photon at a time builds up the interference pattern that classical electromagnetic wave models perfectly.
Single-photon camera recording of photons from a double slit illuminated by very weak laser light. Left to right: single frame, superposition of 200, 1’000, and 500’000 frames.
The little dots clear on the left are the footprints of the photons as they interact with the camera's recording surface. The photons is posited as an elementary particle in the standard model of particle physics, and are called particles because of the point interaction with matter , like a classical particle.
They are in reality quantum mechanical entities building up interference patterns in space and time, not seen in classical particles. As the number of photons increases towards the right, the interference of the classical beam becomes clear. The same plots have been measured for electrons .
However, if there are only very very few photons, can they form a wave-like macro EM field?
No, photons are localized, (within the Heisenberg uncertainty principle) as seen above. They do not have an electromagnetic field in real spacetime, though their complex wavefunction carries the information.
As you see , single photons are points, not spread over space-time
If a spherical monochromatic EMW (frequency is ν) propagates and decays into very low level of energy flux density, e.g., for every square meter, the energy flux is far less than 1*hν per second, then, does the EM fields still exist there?
No, there are only single photons as seen above
is the form of wave only meaning the quantum wave function to indicate the probability of where the photons appear?
The wave nature of the photon is in the wavefunction description, as modeled , for example,here
so it is just probabilities.
How in quantum field theory single photons bbuild up by superposition of their wavefucntions the classical wave is explored here , but a mathematics background in quantum field theory is necessary to understand it.