I'm still new fairly new to RB and have only read about Character Decks but don't know much about them. From what I have read, if you play with them then all players must have a character deck which I understand from reading but do all players have to have the same character deck??

Example: If your playing a three player game can one player have the Battlemage deck, a second have Runemaster, and the third have Blade Dancer?

No, you do not all need to have the same deck. Every player must have A deck, but that is all. You can even create a custom deck by mixing and matching cards from a few different class decks, from what I understand. (I don't own any of them myself so I don't know what the rules for that are.)