Let's say I set up a "2 of 4" scenario, where two of four individuals (via their hardware wallets) must sign a bitcoin transaction. Where is this "you must have two of these four" rule stored? Is it somewhere on the bitcoin blockchain?
Your wallet store the rule needed to spend the Bitcoin from multi-signature address. The rule (in form of script) revealed when you spend Bitcoin from the multi-signature address, where hash of the script must match the address.
Take note it's major simplification and it works a bit differently if Taproot is involved.