When creating a relation type ( admin/structure/relation/add ), you can select which source bundles (and target bundles if directional) you want the relation to apply to. You can even select all bundles of a particular entity type, which would then apply to bundles that have not been created yet.
By the same logic, should there not be an additional option to select "all Entity Types and Bundles"? This allows the relation type to relate to entity types that are created in future.
This feature would be useful for relation types which in concept should not be limited to any entity type. I have a custom commenting entity (sort of) module, which I would like in principle to be attached to any entity type. Are there any good reasons why this option was not included in the original code? From looking at the database table, I can't see there being a large technical barrier to this...