They all did, but as options. Even the iS models might not have LSDs. I think the spools are interchangeable for each size, but I'm not sure.
You'd likely want to stick with the small case, but if you went with a medium case you'd get a far larger selection of cars to choose from.
Here's a tip for you to identify cars that originally had LSDs without trying to read the rusted-out tags on the diff...pull the rear seat bottom, look on the drivers' side for a printed slip, the build sheet. There will be some four-number codes printed across the bottom. Look for 0209...that's the BMW code for the 25% lockup LSD installed at the factory. Of course, the car might have had a new diff installed (I'd assume it if they have a small case diff) so YMMV.