"Each wound on each unit" would be more precise, but is slightly more awkward English.
"A" can totally mean "each"/"any" there. When a game says "each player who owns a farm receives 5 coins of income", it doesn't mean "pick one farm and its owners get income"-- it means "each player who owns any farm". I agree the Mage Knight wording is ambiguous, so I guess yeah, it's badly written? But it's not a mistake.
The object of that sentence is “each Wound card”. The prepositional modifier “in your hand and/or on a Unit you control” applies to “each Wound card”, thus excluding Wound cards on other players’ Units, in other players’s hands, in your discard pile, etc. So the sentence is correct as written.