Yes, the Saturn version of SFZ3 has all those cool features.
The Saturn version has bigger sprites (same size as SFA2/SFZ2) than the PSX and DC versions.
Since the Saturn version requries the 4MB Cart to play, it loads faster than the PSX version, but not necessarily the DC version.
The DC version has all characters unlocked by from the start, but not the PSX (and Saturn version???).
The Saturn controller is preferred over the PSX and DC controllers. You may use the Saturn controller via the
Dream Connection adapters, but you still won't be able to access the Z and C buttons to get the natural 6 button layout the Saturn version gives you.