Do ALL RC control have built-in capability to plug in a slave buddy box ? No, many lower-priced radios do not have the buddy box trainer port.
act as both master or slave in a buddy-box set-up ? No, some radios can only be used one way. Sorry, I don't know which ones.
come with buddy box cable ? None, to my knowledge.
use a standard (uniform world-wide) socket & plug format for doing this training linkup ? No. Hitec and JR use a standard mini plug. Futaba has used DIN plugs in the past, and is now using a rectangular plug.
If not built-in, can they ALL be retrofitted to do so ? No. Some simply don't have the internal electronics, and on ones that do, you'd need a schematic to do it. It will also void your warranty.
If not, which makes should be avoided because they cannot be linked ? Brands can not be mixed. Even some radios of the same brand can not be mixed. Futaba is notorious for this.
The best thing to do is go out to the field where you plan to fly. Look at the brands most others are flying. As said by another poster, if your club is predominately JR, and you buy a Futaba, you're out of luck. You do have the right to choose which brand radio you want to fly, regardless. If you want to fly a brand no one else has, you might consider buying your own buddy box. They are usually around $50-$100. If you buy a lower-priced radio, you could even buy two and use one for the buddy box, saving the flight pack for a future plane.