The "Lemmings For Windows" version of the Original game and Oh No More Lemmings came via CD with soundtrack included I know for sure.
I could be mistaken but I don't think most such CD releases actually come with CD soundtracks. At least based on past threads (
example), it is actually kind of a big deal whenever someone actually manage to track down or own a version that truly has CD audio soundtracks on the CD (as oppose to like MIDI music files from the game itself).
In fact, I would probably flip it around:
I have seen the original CD version of Lemmings for MS-DOS mentioned, but some of the re-releases seem to lack the CD tracks.
I think it's more accurate to say that most releases and re-releases by default do not contain CD tracks, and only a relatively rare few releases had the bonus of having CD tracks. I don't even know for sure whether there is such a thing as an "original" CD version; I think in many cases, various game publishers simply more or less repackage the floppy version onto a CD-ROM without any extras (beyond the PDF of scanned menu every now and then), and it's quite possible the earliest release (which is one definition of "original") of a CD version may be like that.
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Lemmings 3 definitely has versions with CD audio, in fact based on past threads here, in some cases it causes grief for people trying to play the game on modern PCs.
Lemmings Revolution may come on a CD, but I don't think the music are actually stored as CD soundtracks (ie. meaning you can stick the CD into a car's CD player and expect the music to play). I think they are just stored inside files of the game. Of course, it's possible (though probably unlikely, given how close Revolution came to not being finished/released at all) there are special releases of the game that has true CD audio. Don't quote me on this stuff though, it's been a while since I last played Lemmings Revolution and I even managed to have physically destroyed at least one of the CDs and misplaced another in the meantime.