It appears that, for '95, the security system was optional on both the L and LS, but standard on the LSi. Yes, you can have one fitted, but I can't imagine what it'd cost. I think your best bet would be to pull one from a wrecked SVX, if you want the factory system.
The sensor on the driver's side of the dash, by the windshield, is the 'sun load sensor.' It helps the climate control, along with the temperature sensor by the controls, determine how best to use the air conditioning.
I actually can't unlock my driver's door with the keys (a curse that runs in the family - my SVX is the fourth car in my family, I think, to do this), but I always use my remote. I've never had a problem with the trunk or passenger door.
Edit: www.subaruparts.com has the factory security system listed for $247.61. We've had mixed results from them, and the listing doesn't specify whether or not the $250 also buys you a remote.