Sorry, I wasn't very clear; When I said "each individual item may have different shipping methods available" I mean that different products may not all offer the same shipping method.
For instance, let's say you sell one item that's worth €500. You might want shipping to be more expensive for this item to cover insurance to make sure it doesn't get lost in the mail.
You sell another item that's worth €5. This item is almost free to ship because it doesn't require insurance or tracking, as it's fairly cheap to replace if something happens.
These require different shipping methods, and that's why you can't set shipping method for all items simultaneously.