I find it hard to believe that all of them exist in the same universe due to timeline reasons. Toei is never going to create a official canon to the series, so it's up to the fans to do whatever they want by fitting them in.

What was the last Rider directly connected to Ichigo?

Ghost.

And before that?

Nothing aside from Taisen movies really. His last appearance in continuity was... ZX I believe?

So all the Showa seasons were in the same continuous story or what?

Not really, but all of them up through ZX concerned the current Rider fighting another one of the Great Leader's evil organizations.

Gaim in the Heisei VS Showa

does this movie canon to gaim series?

Hard to say. They did air that Gaim vs ToQ special prior as a promo effort though on TV.