Do all ETFs fall under the Investment Company Act of 1940? If not, how would a buyer know? Are there legal or financial terms to look for in the prospectus, or will be it spelled out explicitly?
ETFs that invest in commodities and grantor trusts (HOLDRs) are not covered by the Investment Company Act of 1940. The prospectus usually states this in the risks section. For example, the GLD ETF's prospectus says:
As a buyer, you need to understand what you are buying. Some "ETFs" aren't really ETFs at all... I'd suggest reading "When is an ETF not an ETF" as a starting place.