"...That man must be the very maddest."--Who is the "man" referred to here? And what compels the speaker to wonder?
This quote is from Act I, and the man referred to here is Sergius, the dashing young calvaryman who is, ironically, viewed as brave but described by the Man (Bluntschli) as a fool who almost got everyone killed in the calvary charge.
Bluntscli is a mercenary who is experienced in battle, fourteen years, yet he does not take himself as seriously as Sergius. Unfortunately, at the opening of this play, appearances seem to be everything as Raina also views Sergius as wonderfully brave and intelligent. That causes wonder to Bluntschli, as it is all too apparent to him that Sergius is an arrogant fool or he must be mad, yet only he realizes that. Shaw uses this point to ridicule war and the misconception of heroic behavior.