If the effect is from Dire, and is due to loss of a squad member, the entire squad checks.
If the effect targets a squad then anyoen that is in command distance must make the check.
If it is targeted at one individual model, or the unit is out of coherency, then yes, one model may panic while the rest of the squad is fine. He may attempt to rally using a friendly squad Leaders LD when he returns to Command Distance.
-PFC joe