Most people in Lubitz' situation routinely would go for an FAA First Class medical, since that is usually a prerequisite for entering training for a professional license, a license that requires a First Class medical in order to exercise its privileges. In other words, there would be no point to training someone for an FAA Commercial license if he were not able to obtain that necessary First Class medical. If all you could get was a Third Class medical then you would be expected to train for a PPL, nothing more.
He wasn't training for a FAA license, he was training for an european one. Therefore there was no need for a higher class of medical and i doubt his peers did get anything higher than class 3 as well.
Even in the ATPL training system lufthansa used before EU regulations came around the students would only aquire a FAA class 3 medical, issued by the lufthansa medical center, which was enough to get their US PPL, a part of the training that was required to approve the "team flights" where two students would take a bonanza or baron out for a day of (usually cross country) flying without a flight instructor on board.