It shouldn't matter if it's all combined into one section or not. For featured snippets, the most important element is to make sure that it's clear what question is being answered and that the answer is laid out in an easily quotable format. Reiterating the question within the answer, for example, would make for a more quotable snippet than just an isolated answer.
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RE: Which is the best way - to have all FAQ pages at one place, or splitted in different sections of the website?