On my Machmotion X15-10-01 Control Panel when used with Mach3, the Feedrate Override switch would also slow down or speed up the incremental jog speed.
I thought it also affected it in the different Continous Jog % settings, but I cannot recall for sure and the manual only specifies this:
"With the Feedrate Selector you can adjust the feedrate override from 0% all the way to 130%. You can use it to slow your machine down while running a program. Also, in step jog mode the speed of the axis is regulated by the Feedrate Selector."

I do not have to stick with this way of doing things, but I am not sure how FRO should work in relation to Manual jogging normally? It seems that stock Mach4 FRO does not affect incremental or continous jogging.

Looking for some advice how I should do it.

See page 5 and 6 for the control panel I am using.

https://machmotion.com/documentation/CNC%20Controls/X15-200/X15-200%20User%20Manual.pdf
 

You are correct, the stock FRO doesn't affect any type of jog.  The Jog Rate affect jogs.  The slider on the bottom of the jog panel in a stock screen set or the Continuous Jog on that panel you have.  FRO should NEVER affect any jog rates.  That is purely for G code feeds. 

Steve