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Hi Piotr,
I'm sorry but I missed your last comment. You're correct. BFD just reports that path is no longer reachable. It's up to the routing protocol (or control plane if static route) to bypass the failed path. If you'd like BIG-IP to failover you'd need to configure BIG-IP Failsafe. Regarding second question, I haven't tested this scenario yet where we have one BIG-IP and multiple neighbours responding on the same path but I would imagine that as long as there is at least a single session on that link BIG-IP would not bring the link down if it's tied to an interface. If it's tied to a static route, it would remove the static route from the peer that went down. I would have to test to confirm this behaviour though.
Best regards,
Rodrigo