Is it possible to add a single module to a replicMaster site?

If not can I (and how) get all modules from the master?
(With a symlink maybe? If yes how do I create a symlink afterwards?)

Your question is not clear.

The "replicMaster" template rule copy ALL the content of a website.
If you mean by "module" a "module extension", I suppose that you want to install a module inside an existing website.
For that, you need to use the "JMS Tools" menu.

If is NOT possible to define rule that would create symbolic link into a subdirectory of master root directory.

The /modules directory is normally a link on all the modules.

In the JMS Template rules, there is the "dirlink" action that we do not recommend using it for the modules.
If you use it, that will means that you will have to do manual synchronization in case where additional modules would be installed in the master and that would be required in the slave.