I had come to terms with the wave function collapsing on observations, but does this apply to every fundamental particles and electromagnetic waves too?
The principles of quantum mechanics — states, observables, eigenvalues, probability amplitudes, etc. — are completely general. They apply in all circumstances, as far as we know. They aren’t restricted to certain particles or interactions. (Well... actually, we’re not sure how gravity fits in.)
For example, if a photon is in a superposition of two polarizations and you observe its polarization, you will observe only one polarization, but there will be a probabilities of observing either polarization.
Addendum based on comments:
The electromagnetic waves / photons radiated by, say, radio antennas are not in a coherent quantum-mechanical state. A receiving antenna does not “collapse” the state of all the radiated waves. The waves can be understood using only classical electromagnetism.